Higher order asymptotic investigations of weighted estimators for Gaussian ARMA processes

DOI10.32917/HMJ/1206128808zbMATH Open0719.62099OpenAlexW1525759089WikidataQ128899800 ScholiaQ128899800MaRDI QIDQ2640293FDOQ2640293

Authors: Myint Swe 

Publication date: 1991

Published in: Hiroshima Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.32917/hmj/1206128808

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zbMATH Keywords

Edgeworth expansionmaximum likelihood estimatorlikelihood rationormalizing transformationGaussian ARMA processquasi-likelihood functionhigher order asymptotic efficiencyAkaike's final prediction errorgeneralized multiparameter weighted estimatorgeneralized weighted estimatorhigher order asymptotic properties of weighted estimators of Bayes typehigher order local powersmodified Wald' testsquasi-weighted estimatorsecond-order asymptotically efficientsecond-order asymptotically median unbiased

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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• HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
• Title not available (Why is that?)
• Efficiencies of Weighted Averages in Stationary Autoregressive Processes
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes

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