ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS

DOI10.1111/J.1467-9892.1994.TB00195.XMaRDI QIDQ4299037zbMATH OpenOpenAlexFDO

Authors Yoshihide Kakizawa, Masanobu Taniguchi

Publication date 8 September 1994

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00195.x

zbMATH Keywords

asymptotic efficiencyasymptotic varianceCramér-Rao boundderivativeGaussian stationary processintegrals of the spectral densitysample autocovariancesspectral densityToeplitz matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• On the asymptotic properties of multivariate sample autocovariances
• ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES
• On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes

Cites work

• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• The commutation matrix: Some properties and applications
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes

Cited in

(12)

• Asymptotic normality of sample autocovariances with an application in frequency estimation
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• The generalised autocovariance function
• On the asymptotic properties of multivariate sample autocovariances
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes
• Asymptotic Relative Efficiency and Exact Variance Stabilizing Transformation for the Generalized Gaussian Distribution
• Improved estimation for the autocovariances of a Gaussian stationary process
• Efficient nonparametric estimation of generalised autocovariances
• UMVU estimation for time series

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