Higher order asymptotic theory for time series analysis
zbMATH Open0729.62086MaRDI QIDQ1189362FDOQ1189362
Authors: Masanobu Taniguchi 
Publication date: 18 September 1992
Published in: Lecture Notes in Statistics (Search for Journal in Brave)
Recommendations
multivariate time serieslikelihood ratio teststime series analysisEdgeworth expansionsasymptotic sufficiencyRao testsGaussian ARMA processesasymptotic ancillarityBerry-Esseen theorems for quadratic formsHigher order asymptotic theorymodified Wald tests
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Cited In (40)
- Bartlett correction in the stable second-order autoregressive model with intercept and trend
- Generalized information criterion
- Higher‐order asymptotics of minimax estimators for time series
- Some integrals involving multivariate Hermite polynomials: application to evaluating higher-order local powers
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- On large deviation asymptotics of some tests in time series
- Asymptotic results for Fourier-PARMA time series
- Improved chi-squared tests for a composite hypothesis
- Moment bounds for non-linear functionals of the periodogram
- Small sample adjustment for hypotheses testing on cointegrating vectors
- Second-order robustness for time series inference
- Asymptotic spectral theory for nonlinear time series
- On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Higher-order asymptotic theory of shrinkage estimation for general statistical models
- Asymptotic expansions of Bayes estimators for small diffusions
- Comparison of Bartlett-type adjusted tests in the multiparameter case
- Edgeworth expansions for spectral mean estimates with applications to Whittle estimates
- Asymptotic expansion and estimates of Wiener functionals
- On exponential rates of estimators of the parameter in the first-order autoregressive process
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
- Higher-order approximations for frequency domain time series regression
- Partial mixing and Edgeworth expansion
- Second-order power comparison of tests
- Edgeworth expansions in Gaussian autoregression
- BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
- Title not available (Why is that?)
- Title not available (Why is that?)
- Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes
- More higher-order efficiency: Concentration probability
- Title not available (Why is that?)
- Preliminary test estimation for spectra
- THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN
- Sharp large deviations for Gaussian quadratic forms with applications
- Generalized Cordeiro-Ferrari Bartlett-type adjustment
- The influence of parameter estimation on the ARL of Shewhart type charts for time series
- Shrinkage estimators of BLUE for time series regression models
- Second-order properties of locally stationary processes
- Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
- Malliavin calculus and martingale expansion
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