Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes

DOI10.1016/0167-7152(94)90013-2MaRDI QIDQ1332745zbMATH OpenOpenAlexFDO

Authors G. Zhang

Publication date 16 February 1995

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)90013-2

zbMATH Keywords

time seriesdiscriminant analysislog-likelihood ratioGaussian autoregressive processesasymptotic approximationshigher-order asymptotic theorymisclassification probabilitiesGaussian ARMA processesGaussian AR(1) processesnumerical simulation study

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• HIGHER ORDER ASYMPTOTIC THEORY FOR DISCRIMINANT ANALYSIS IN GAUSSIAN STATIONARY PROCESSES
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Cites work

• scientific article; zbMATH DE number 3903784 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• An Asymptotic Expansion for the Distribution of the Linear Discriminant Function
• Asymptotic distribution of the discriminant function
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Higher order asymptotic theory for time series analysis

Cited in

(4)

• HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
• Higher order asymptotic theory for discriminant analysis in exponential families of distributions
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes
• scientific article; zbMATH DE number 1462733 (Why is no real title available?)

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