HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
Publication:3200434
DOI10.1111/j.1467-9892.1991.tb00070.xzbMath0714.62090OpenAlexW2035796675MaRDI QIDQ3200434
Publication date: 1991
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00070.x
spectral densityweighted estimatorEdgeworth expansionpower comparisonnormalizing transformationsimple hypothesisthird-order asymptotically efficientlocal powersGaussian ARMA processFisher's z transformationhigher-order asymptotic propertieschi-square asymptotic expansionssecond- order asymptotically efficientsecond-order median unbiased estimators
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15) Approximations to statistical distributions (nonasymptotic) (62E17)
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