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Activity Number: 512
Type: Contributed
Date/Time: Wednesday, August 1, 2012 : 10:30 AM to 12:20 PM
Sponsor: International Chinese Statistical Association
Abstract - #304054
Title: Oracally Efficient Estimation of Autoregressive Error Distribution Function
Author(s): Jiangyan Wang*+ and Lijian Yang and Rong Liu and Fuxia Cheng
Companies: Soochow University and Soochow University/Michigan State University and University of Toledo and Illinois State University
Address: Building #17 Room 542, Suzhou, Jiangsu, International, 215006, China
Keywords: AR(p) ; bandwidth ; error ; kernel ; oracle efficiency ; residual

We propose kernel estimator of the distribution function of the unobserved random errors in autoregressive time series. The estimator is based on the residuals computed by estimating the autoregressive coefficients with Yule-Walker method. Under mild assumptions, we establish oracle efficiency of the proposed estimator, i.e., it is asymptotically as efficient as the kernel estimator of the distribution function based on the unobserved error sequence itself. Simulation examples support the asymptotic theory.

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