Geodesic
Nonparametric Estimation for an Autoregressive Model
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2008), pp. 20-30

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The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for proposed estimators are shown.
Keywords: asymptotical efficiency, kernel estimates, minimax, nonparametric autoregression. 
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     author = {O. Arkoun and S. M. Pergamenshchikov},
     title = {Nonparametric {Estimation} for an {Autoregressive} {Model}},
     journal = {Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika},
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     year = {2008},
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     url = {http://geodesic.mathdoc.fr/item/VTGU_2008_2_a2/}
}
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O. Arkoun; S. M. Pergamenshchikov. Nonparametric Estimation for an Autoregressive Model. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2008), pp. 20-30. http://geodesic.mathdoc.fr/item/VTGU_2008_2_a2/