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

DOI10.1214/aos/1176350838zbMath0662.62100OpenAlexW2093117438MaRDI QIDQ1113599

Rainer Dahlhaus

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1214/aos/1176350838

zbMATH Keywords

consistencynormalitytime seriesmaximum likelihood estimatesperiodogramstationary processspectral densitylikelihood functionlikelihood approximationsmall sample behaviourasymptotically Fisher efficientconditional likelihood estimatedata tapersstrong peakWhittle estimate

Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Forecasting Unemployment Using Internet Search Data via PRISM, Asymptotic equivalence of spectral density estimation and Gaussian white noise, On the efficiency of estimators of a spectral density multivariate parameter, Fitting time series models to nonstationary processes, Statistical inference for stationary linear models with tapered data, Long memory processes and fractional integration in econometrics, REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING, PEAK-INSENSITIVE NON-PARAMETRIC SPECTRUM ESTIMATION, Forecasting highly persistent time series with bounded spectrum processes, A new non‐parametric cross‐spectrum estimator, Locally stationary functional time series, CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA, Approximation for the inverse of Toeplitz matrices with applications to stationary processes, Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks, Generalized Levinson--Durbin and Burg algorithms., Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process, Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum, Approximating data, Testing nonparametric and semiparametric hypotheses in vector stationary processes, Polynomial tapered two-stage least squares method in nonlinear regression, The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size, Saddlepoint approximations for short and long memory time series: a frequency domain approach, Efficiency in estimation of memory, Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain, Asymptotically optimal estimation in misspecified time series models, Nonparametric high resolution spectral estimation, Non-stationary log-periodogram regression, Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study., Spectral methods for small sample time series: A complete periodogram approach, The Multistep Beveridge–Nelson Decomposition, The generalised autocovariance function, A Novel Approach for Estimating Seemingly Unrelated Regressions with High-Order Autoregressive Disturbances