HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES

DOI10.1111/J.1467-9892.1991.TB00070.XMaRDI QIDQ3200434zbMATH OpenOpenAlexFDO

Authors Myint Swe, Masanobu Taniguchi

Publication date 1991

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00070.x

zbMATH Keywords

Edgeworth expansionspectral densitypower comparisonweighted estimatornormalizing transformationsimple hypothesisthird-order asymptotically efficientlocal powersGaussian ARMA processFisher's z transformationhigher-order asymptotic propertieschi-square asymptotic expansionssecond- order asymptotically efficientsecond-order median unbiased estimators

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Higher order asymptotic investigations of weighted estimators for Gaussian ARMA processes
• THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
• Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes
• Asymptotically optimal estimation of MA and ARMA parameters of non-Gaussian processes from high-order moments
• On the asymptotic distribution of a weighted least absolute deviation estimate for a bifurcating autoregressive process

Cites work

• Asymptotic optimality of the generalized Bayes estimator in multiparameter cases
• Normalizing transformations of some statistics in multivariate analysis
• The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes

Cited in

(6)

• scientific article; zbMATH DE number 4143230 (Why is no real title available?)
• Higher‐order asymptotics of minimax estimators for time series
• Asymptotic expansions of Bayes estimators for small diffusions
• Higher order asymptotic investigations of weighted estimators for Gaussian ARMA processes
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes

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