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

DOI10.1016/0047-259X(86)90055-2zbMath0595.62091MaRDI QIDQ1077855

Masanobu Taniguchi

Publication date: 1986

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

Toeplitz matrixasymptotic efficiencymaximum likelihood estimatorspectral densityEdgeworth expansionresidue theoremGaussian ARMA processesasymptotically median unbiased estimatorsGaussian autoregressive moving average processeshighest probability concentration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes, Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes, Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances, Comparison of Bartlett-type adjustments for the efficient score statistic, Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes, ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS, APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS, DIFFERENTIAL GEOMETRY OF ARMA MODELS, Approximation for the inverse of Toeplitz matrices with applications to stationary processes, Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process, Interpretation and manipulation of Edgeworth expansions, Comparison of test statistics via expected lengths of associated confidence intervals, VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES, More higher-order efficiency: Concentration probability, Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series, Third-order asymptotic properties of a class of test statistics under a local alternative, On the martingale approximation of the estimation error of ARMA parameters

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