Statistical analysis of curved probability densities

DOI10.1006/JMVA.1994.1004MaRDI QIDQ1319953zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi, Yoshihide Watanabe

Publication date 21 April 1994

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1994.1004

zbMATH Keywords

time seriesmaximum likelihood estimatorcurved exponential familyhigher order asymptotic theorycurved ARMA modelscurved probability densitiescurved regression modelsdifferential-geometrical methodsthird-order asymptotically optimalthird-order Edgeworth expansion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20)

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