Higher order asymptotic theory for normalizing transformations of maximum likelihood estimators

zbMATH Open0840.62031MaRDI QIDQ1909459FDOQ1909459

Authors: Masanobu Taniguchi, Madan L. Puri 

Publication date: 24 June 1996

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

time seriesEdgeworth expansionobserved informationmaximum likelihood estimatorshigher-order asymptotic theorysaddlepoint expansionvariance stabilizing transformationk-th-order normalizing transformationmodified signed log likelihood ratio

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cited In (5)

• Higher order normalizing transformations of asymptotic \(U\)-statistics for removing bias, skewness and kurtosis
• On large deviation asymptotics of some tests in time series
• Higher-order asymptotic normality of approximations to the modified signed likelihood ratio statistic for regular models
• Title not available (Why is that?)
• Higher-order asymptotics and the likelihood principle: One-parameter models

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