Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
自回归误差分布的预言效率估计与同时置信带
We propose kernel estimator for the distribution function of unobserved errors in autoregressive time series, based on residuals computed by estimating the autoregressive coefficients with the Yule–Walker method. Under mild assumptions, we establish oracle efficiency of the proposed estimator, that is, it is asymptotically as efficient as the kernel estimator of the distribution function based on the unobserved error sequence itself. Applying the result of Wang, Cheng and…