LAN theorem for non-Gaussian locally stationary processes and its applications

DOI10.1016/j.jspi.2004.08.017zbMath1077.62070OpenAlexW2014818219MaRDI QIDQ2581642

Junichi Hirukawa, Masanobu Taniguchi

Publication date: 10 January 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.08.017

zbMATH Keywords

Adaptive estimationLocal asymptotic normalityAsymptotically efficient estimatorLocally stationary processNon-Gaussian robustnessOptimal test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Asymptotic properties of parametric tests (62F05)

Related Items (5)

STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ On large deviations in testing simple hypotheses for locally stationary Gaussian processes ⋮ CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES ⋮ Least squares estimators for unit root processes with locally stationary disturbance

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