HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES

DOI10.1017/S0266466603196053zbMath1441.62883OpenAlexW2129358013MaRDI QIDQ4562546

Masanobu Taniguchi, Kees Jan van Garderen, Madan Lal Puri

Publication date: 21 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603196053

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Moderate deviations for quadratic forms in Gaussian stationary processes ⋮ Second order optimality for estimators in time series regression models

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