scientific article; zbMATH DE number 3921782

MaRDI QIDQ3696348zbMATH OpenFDO

Authors Katsuto Tanaka

Publication date 1984

zbMATH Keywords

autoregressiveARMA modelsmarginalmaximum likelihood estimatorconditional distributionsjointEdgeworth type asymptotic expansionmoving- average models

Mathematics Subject Classification ID

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

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Cited in

(24)

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• An integrated heteroscedastic autoregressive model for forecasting realized volatilities
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Approximate confidence sets for a stationary \(AR(p)\) process
• CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Local Parametric Estimation in High Frequency Data
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• Finite-sample properties of estimators for first and second order autoregressive processes
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Modified unit root tests and momentum threshold autoregressive processes.
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Bias correction in ARMA models
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• scientific article; zbMATH DE number 19726 (Why is no real title available?)
• Estimation bias and feasible conditional forecasts from the first-order moving average model
• Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model
• Nearly weighted risk minimal unbiased estimation
• A general result on the estimation bias of ARMA models
• On least-squares estimation of the residual variance in the first-order moving average model.
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

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