Abstract p21 Wolfgang Wefelmeyer Abstract p21 A. Schick and W. Wefelmeyer. Estimating the innovation distribution in nonlinear autoregressive models. It can be improved by exploiting that the innovation distribution has mean zero. We show that the resulting estimator is efficient if the innovations are estimated with an efficient estimator for the autoregression parameter. Efficiency of this estimator is necessary except when the expectation of the function can be estimated adaptively.
Analogous results hold for heteroscedastic models.
Constrained model, empirical estimator, influence function, Markov chain model, semiparametric model.