scientific article; zbMATH DE number 3930128

MaRDI QIDQ3703100zbMATH OpenFDO

Authors Katsuto Tanaka

Publication date 1986

zbMATH Keywords

Asymptotic expansionsjoint distributionsmaximum likelihood estimatorpercentiles of marginal distributionstest statisticstime series modelstransformed statistic

Mathematics Subject Classification ID

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

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(7)

• Higher order asymptotic theory for time series analysis
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• Asymptotic distribution of statistics in time series
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• Fixed-smoothing asymptotics for time series
• Asymptotic time averages and frequency distributions
• Asymptotic expansion for the distribution of a median unbiased estimator of ARCH(0,1) coefficient

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