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

DOI10.1111/j.1467-9892.1991.tb00070.xzbMath0714.62090MaRDI QIDQ3200434

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

spectral density; weighted estimator; Edgeworth expansion; power comparison; normalizing transformation; simple hypothesis; third-order asymptotically efficient; local powers; Gaussian ARMA process; Fisher's z transformation; higher-order asymptotic properties; chi-square asymptotic expansions; second- order asymptotically efficient; second-order median unbiased estimators

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

62F15: Bayesian inference

62M15: Inference from stochastic processes and spectral analysis

62E17: Approximations to statistical distributions (nonasymptotic)

Related Items

Higher‐order asymptotics of minimax estimators for time series, Asymptotic expansions of Bayes estimators for small diffusions

Cites Work

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