Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes

DOI10.1016/0047-259X(87)90096-0zbMath0612.62119MaRDI QIDQ1088354

Masanobu Taniguchi

Publication date: 1987

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

zbMATH Keywords

maximum likelihoodspectral densityEdgeworth expansionminimum contrast estimatorsasymptotic median unbiasednesshigher order efficiencyquasi maximum likelihood estimatorscalar Gaussian ARMA processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Asymptotic expansions of Bayes estimators for small diffusions ⋮ Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models ⋮ Third-order asymptotic properties of a class of test statistics under a local alternative

Cites Work

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• VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
• Approximations for densities of sufficient estimators
• Asymptotic expansions for sums of weakly dependent random vectors
• Vector linear time series models
• An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion

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