Second-order risk structure of GLSE and MLE in a regression with a linear process

DOI10.1214/AOS/1176350060zbMath0605.62066OpenAlexW2068966713MaRDI QIDQ1083807

Yasuyuki Toyooka

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1214/aos/1176350060

zbMATH Keywords

maximum likelihood estimatorgeneralized least squares estimatorGLSEGrenander's conditionlinear error-processsecond-order expansion of the risk matrixWhittle functional

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Second order optimality for estimators in time series regression models ⋮ Bounds for normal approximations to the distributions of generalized least squares predictors and estimators

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