Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes

DOI10.1016/0047-259X(88)90144-3zbMath0659.62105MaRDI QIDQ1112518

Masanobu Taniguchi

Publication date: 1988

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

zbMATH Keywords

likelihood ratioWald testmaximum likelihood estimatorspectral densityRao testsimple hypothesislocal powersGaussian ARMA processchi-square-type asymptotic expansionsmodified Wald

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (11)

About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models ⋮ BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND ⋮ Refinements in maximum likelihood inference on spatial autocorrelation in panel data ⋮ Improved chi-squared tests for a composite hypothesis ⋮ Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process ⋮ Comparison of Bartlett-type adjusted tests in the multiparameter case ⋮ Asymptotic expansions of the distributions of some test statistics in generalized linear models ⋮ On large deviation asymptotics of some tests in time series ⋮ Generalized Cordeiro-Ferrari Bartlett-type adjustment ⋮ VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES ⋮ Third-order asymptotic properties of a class of test statistics under a local alternative

Cites Work

• Unnamed Item
• Asymptotic expansions of the distributions of some test statistics
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
• The likelihood ratio criterion and the asymptotic expansion of its distribution
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• The likelihood ratio criterion for a composite hypothesis under a local alternative
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Likelihood ratio and associated test criteria

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