Statistical analysis of curved probability densities

DOI10.1006/jmva.1994.1004zbMath0789.62021MaRDI QIDQ1319953

Masanobu Taniguchi, Yoshihide Watanabe

Publication date: 21 April 1994

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

Full work available at URL: https://doi.org/10.1006/jmva.1994.1004

zbMATH Keywords

time series; maximum likelihood estimator; curved exponential family; higher order asymptotic theory; curved ARMA models; curved probability densities; curved regression models; differential-geometrical methods; third-order asymptotically optimal; third-order Edgeworth expansion

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M99: Inference from stochastic processes

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