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

DOI10.1016/0167-7152(94)90013-2zbMATH Open0806.62049OpenAlexW2069430830MaRDI QIDQ1332745FDOQ1332745

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

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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)

Cites Work

• Title not available (Why is that?)
• Higher order asymptotic theory for time series analysis
• An Asymptotic Expansion for the Distribution of the Linear Discriminant Function
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Title not available (Why is that?)
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• Asymptotic distribution of the discriminant function
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes

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
• Title not available (Why is that?)

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