Higher order asymptotic theory for normalizing transformations of maximum likelihood estimators

MaRDI QIDQ1909459zbMATH OpenFDO

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)

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)

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(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
• scientific article; zbMATH DE number 4007455 (Why is no real title available?)
• Higher-order asymptotics and the likelihood principle: One-parameter models

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