Higher order asymptotic investigations of weighted estimators for Gaussian ARMA processes

DOI10.32917/HMJ/1206128808MaRDI QIDQ2640293zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Akaike's final prediction errorEdgeworth expansionGaussian ARMA processgeneralized multiparameter weighted estimatorgeneralized weighted estimatorhigher order asymptotic efficiencyhigher order asymptotic properties of weighted estimators of Bayes typehigher order local powerslikelihood ratiomaximum likelihood estimatormodified Wald' testsnormalizing transformationquasi-likelihood functionquasi-weighted estimatorsecond-order asymptotically efficientsecond-order asymptotically median unbiased

Mathematics Subject Classification ID

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

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Cited in

(5)

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• Efficiencies of Weighted Averages in Stationary Autoregressive Processes
• THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN

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