Second-order properties of locally stationary processes

DOI10.1111/J.1467-9892.2008.00605.XzbMATH Open1224.62042OpenAlexW2108262270MaRDI QIDQ3077645FDOQ3077645

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

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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)

Cites Work

• Asymptotic theory of statistical inference for time series
• A likelihood approximation for locally stationary processes
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On the Kullback-Leibler information divergence of locally stationary processes
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Higher order asymptotic theory for time series analysis
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• High-order efficiency in the estimation of linear 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
• Title not available (Why is that?)
• Enumeration of the Gutman and Schultz indices in the random polygonal chains
• A New Class of Second Order Self-Similar Processes
• Title not available (Why is that?)
• Title not available (Why is that?)

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