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

DOI10.1111/J.1467-9892.1991.TB00070.XzbMATH Open0714.62090OpenAlexW2035796675MaRDI QIDQ3200434FDOQ3200434

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)

Cites Work

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

Cited In (3)

• Higher‐order asymptotics of minimax estimators for time series
• Asymptotic expansions of Bayes estimators for small diffusions
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series

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