Uniform moment bounds of Fisher's information with applications to time series

DOI10.1214/10-AOS861zbMATH Open1220.62088arXiv1211.4962MaRDI QIDQ638801FDOQ638801

Authors: Ngai Hang Chan, Ching-Kang Ing 

Publication date: 14 September 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, a uniform (over some parameter space) moment bound for the inverse of Fisher's information matrix is established. This result is then applied to develop moment bounds for the normalized least squares estimate in (nonlinear) stochastic regression models. The usefulness of these results is illustrated using time series models. In particular, an asymptotic expression for the mean squared prediction error of the least squares predictor in autoregressive moving average models is obtained. This asymptotic expression provides a solid theoretical foundation for some model selection criteria.

Full work available at URL: https://arxiv.org/abs/1211.4962

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zbMATH Keywords

least squares estimatesFisher's information matrixmean squared prediction errorsstochastic regression modelsuniform moment bounds

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cited In (17)

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• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Model averaging for asymptotically optimal combined forecasts
• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• I got more data, my model is more refined, but my estimator is getting worse! Am I just dumb?
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• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• A note on mean squared prediction error under the unit root model with deterministic trend

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