On the second order asymptotic efficiency of estimators of Gaussian ARMA processes

DOI10.1214/aos/1176346066zbMath0509.62086OpenAlexW2024047503MaRDI QIDQ1838261

Masanobu Taniguchi

Publication date: 1983

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346066

zbMATH Keywords

Toeplitz matrixperiodogramspectral densityresidue theoremquasi-maximum likelihood estimatorsautoregressive moving average processesGram-Charlier expansiondegree of concentration of sampling distributionsecond order asymptotic efficiency of estimators of Gaussian ARMA processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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