THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN
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Publication:4715707
DOI10.1111/j.1467-9892.1996.tb00283.xzbMath0858.62076OpenAlexW1985402656MaRDI QIDQ4715707
Publication date: 23 March 1997
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00283.x
nuisance parametersEdgeworth expansionmean squared errorsconcentration probabilityunknown meaninnovation variancebias adjusted maximum likelihood estimatorGaussian autoregressive moving-average processesmean corrected estimatorthird-order asymptotic optimality
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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