scientific article; zbMATH DE number 4143230

MaRDI QIDQ3473943zbMATH OpenFDO

Authors Masanobu Taniguchi

Publication date 1989

zbMATH Keywords

Bartlett adjustmentchi- square type asymptotic expansionsGaussian ARMA processlikelihood ratio testlocal powersRao testspectral densitytime seriesWald test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Third-order asymptotic properties of a class of test statistics under a local alternative
• HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
• Asymptotic expansions of the distributions of some test statistics
• An Automatic Formula for the Second-Order Approximation of the Distributions of Test Statistics under Contiguous Alternatives

Cited in

(4)

• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• The asymptotic distribution of the constant behavior of the generalized partial autocorrelation function of an ARMA process
• An Automatic Formula for the Second-Order Approximation of the Distributions of Test Statistics under Contiguous Alternatives
• On large deviation asymptotics of some tests in time series

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3473943)