Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process (Q1429318): Difference between revisions

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English	Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process	scientific article

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scholarly article

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title

Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process (English)

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The Annals of Statistics

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publication date

18 May 2004

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zbMATH Keywords

long memory processes

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ARFIMA models

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1214/aos/1051027882

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cites work

Q3825928

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Q4326424

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On the level-error after Bartlett adjustment of the likelihood ratio statistic

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On the validity of the formal Edgeworth expansion

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Time series: theory and methods.

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On methods of asymptotic approximation for multivariate distributions

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An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators

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Small sample effects in time series analysis: A new asymptotic theory and a new estimate

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Efficient parameter estimation for self-similar processes

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Approximations for densities of sufficient estimators

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Central limit theorems for quadratic forms in random variables having long-range dependence

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Asymptotic distribution of statistics in time series

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Q3247378

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Fractional differencing

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Cumulants of a transformed variate

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Q3255791

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Q3290190

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Refinements in asymptotic expansions for sums of weakly dependent random vectors

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SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL

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Fractional Brownian Motions, Fractional Noises and Applications

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Q3935276

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On Multivariate Edgeworth Expansions

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On the second order asymptotic efficiency of estimators of Gaussian ARMA processes

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VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES

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Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes

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Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes

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Estimation and information in stationary time series

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Identifiers

zbMATH Open document ID

1067.62021

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DOI

10.1214/aos/1051027882

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1429318

@@ Property / cites work @@
+Q3825928
@@ Property / cites work: Q3825928 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4326424
@@ Property / cites work: Q4326424 / rank @@
+Normal rank
@@ Property / cites work @@
+On the level-error after Bartlett adjustment of the likelihood ratio statistic
+Normal rank
@@ Property / cites work @@
+On the validity of the formal Edgeworth expansion
@@ Property / cites work: On the validity of the formal Edgeworth expansion / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+On methods of asymptotic approximation for multivariate distributions
+Normal rank
@@ Property / cites work @@
+An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators
+Normal rank
@@ Property / cites work @@
+Small sample effects in time series analysis: A new asymptotic theory and a new estimate
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Approximations for densities of sufficient estimators
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+Central limit theorems for quadratic forms in random variables having long-range dependence
+Normal rank
@@ Property / cites work @@
+Asymptotic distribution of statistics in time series
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Q3247378
@@ Property / cites work: Q3247378 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Cumulants of a transformed variate
@@ Property / cites work: Cumulants of a transformed variate / rank @@
+Normal rank
@@ Property / cites work @@
+Q3255791
@@ Property / cites work: Q3255791 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3290190
@@ Property / cites work: Q3290190 / rank @@
+Normal rank
@@ Property / cites work @@
+Refinements in asymptotic expansions for sums of weakly dependent random vectors
+Normal rank
@@ Property / cites work @@
+SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Q3935276
@@ Property / cites work: Q3935276 / rank @@
+Normal rank
@@ Property / cites work @@
+On Multivariate Edgeworth Expansions
@@ Property / cites work: On Multivariate Edgeworth Expansions / rank @@
+Normal rank
@@ Property / cites work @@
+On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
+Normal rank
@@ Property / cites work @@
+VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
+Normal rank
@@ Property / cites work @@
+Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
+Normal rank
@@ Property / cites work @@
+Estimation and information in stationary time series
+Normal rank