Statistical analysis of curved probability densities

DOI10.1006/jmva.1994.1004zbMath0789.62021OpenAlexW2038232267MaRDI QIDQ1319953

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) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes (62M99)

Related Items (8)

Asymptotic expansions for the estimators of Lagrange multipliers and associated parameters by the maximum likelihood and weighted score methods ⋮ Asymptotic cumulants of the estimator of the canonical parameter in the exponential family ⋮ Information geometry of small diffusions ⋮ Higher-order asymptotic theory of shrinkage estimation for general statistical models ⋮ Comparison of Bartlett-type adjusted tests in the multiparameter case ⋮ Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property ⋮ Edgeworth expansions in Gaussian autoregression ⋮ Asymptotic expansions for the ability estimator in item response theory

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