Second-order properties of locally stationary processes

DOI10.1111/J.1467-9892.2008.00605.XMaRDI QIDQ3077645zbMATH OpenOpenAlexFDO

Authors Kenichiro Tamaki

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00605.x

zbMATH Keywords

maximum likelihood estimatorsecond-order asymptotic efficiencyGaussian locally stationary processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites work

• A likelihood approximation for locally stationary processes
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Asymptotic theory of statistical inference for time series
• High-order efficiency in the estimation of linear processes
• Higher order asymptotic theory for time series analysis
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On the Kullback-Leibler information divergence of locally stationary processes
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes

Cited in

(7)

• LAN theorem for non-Gaussian locally stationary processes and its applications
• On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
• scientific article; zbMATH DE number 1820173 (Why is no real title available?)
• Enumeration of the Gutman and Schultz indices in the random polygonal chains
• A New Class of Second Order Self-Similar Processes
• scientific article; zbMATH DE number 4115776 (Why is no real title available?)
• scientific article; zbMATH DE number 431849 (Why is no real title available?)

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