Sequential robust estimation for nonparametric autoregressive models

International audienceWe construct a robust truncated sequential estimator for the point- wise estimation problem in nonparametric autoregression models with smooth coe cients. For Gaussian models we propose an adaptive pro- cedure based on the constructed sequential estimators. The minimax nonadaptive and adaptive convergence rates are established. It turns out that in this case these rates are the same as for regression models