Included are the procedure adar.g, adar.rdme which
discussed installation
and the estimation procedure Procedure adar.g
is the main procedure to call
to estimate parameters of AR(p) model. Procedure
constructs an estimator which
is adaptive for all densities of the distribution
of the white noise.The main reference
is Jens-Peter Kreiss(1987), "On Adaptive Estimation
In Autoregressive Models
When There Are Nuisance Functions", Statistics
? Decisions, 5, pp. 59-76.
Download in Text format: download
adar.g
download
readme file