scientific article; zbMATH DE number 3936315

MaRDI QIDQ3707204zbMATH OpenFDO

Authors Kacha Dzhaparidze

Publication date 1981

zbMATH Keywords

ARMA modelsasymptotic optimalityasymptotically differentiable sequences of experimentsasymptotically efficient estimationGaussian time serieslinear processlocally asymptotically normal families of distributionsmaximum likelihoodstationary time seriesTests of fitWhittle's method

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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(9)

• Asymptotics of minimax mean-square risk of statistical estimators of spectral density parameters
• Statistical estimation of the multivariate parameter of spectral density. I
• Parameter estimation and hypothesis testing in stationary vector time series
• Local asymptotic normality for autoregression with infinite order
• Asymptotics of minimax mean-square risk of statistical estimators of spectral density in the space \(L_ 2\)
• Perturbation analysis of a maximum-likelihood objective function
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• Maximum likelihood estimation of the spectral density parameter

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