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

asymptotic approximationsdiscriminant analysisGaussian AR(1) processesGaussian ARMA processesGaussian autoregressive processeshigher-order asymptotic theorylog-likelihood ratiomisclassification probabilitiesnumerical simulation studytime series

Mathematics Subject Classification ID

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

Review text

This paper develops a higher-order asymptotic theory for discriminant analysis in time series. Higher-order asymptotic analysis may be necessary if the sample size is not large. Two discriminant statistics for Gaussian autoregressive processes are given. Then the asymptotic approximations of misclassification probabilities are derived -- the second-order one for Gaussian ARMA processes and the third-order one for Gaussian AR(1) processes. A numerical simulation study for the Gaussian ARMA(1,1) process with small samples is performed using the above two discriminant statistics, and the results are both close to the theoretical detection probabilities of the log-likelihood ratio.

Recommendations

• HIGHER ORDER ASYMPTOTIC THEORY FOR DISCRIMINANT ANALYSIS IN GAUSSIAN STATIONARY PROCESSES
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes
• scientific article; zbMATH DE number 3942806
• Higher order asymptotic theory for discriminant analysis in exponential families of distributions

Cites work

• 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
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Higher order asymptotic theory for time series analysis
• scientific article; zbMATH DE number 3903784 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)

Cited in

(5)

• 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
• HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
• HIGHER ORDER ASYMPTOTIC THEORY FOR DISCRIMINANT ANALYSIS IN GAUSSIAN STATIONARY PROCESSES
• scientific article; zbMATH DE number 1462733 (Why is no real title available?)

This page was built for publication: Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1332745)