High-order efficiency in the estimation of linear processes

DOI10.1214/AOS/1176344673MaRDI QIDQ1257751zbMATH OpenOpenAlexFDO

Authors Yuzo Hosoya

Publication date 1979

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176344673

zbMATH Keywords

OptimalityAsymptotic Information LossAymptotically Efficient EstimateCraig-Aitken TheoremGaussian Linear ProcessesInfinite- Dimensional Gaussian Random VectorsInformation AmountMaximum Likelihood EstimateWhittle-Walker Model

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

Cited in

(4)

• On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
• More higher-order efficiency: Concentration probability
• Information amount and higher-order efficiency in estimation
• Second-order properties of locally stationary processes

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