Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes

DOI10.1016/0167-7152(94)90013-2zbMath0806.62049OpenAlexW2069430830MaRDI QIDQ1332745

Guoqiang Zhang

Publication date: 16 February 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90013-2

zbMATH Keywords

time seriesdiscriminant analysisGaussian autoregressive processeslog-likelihood ratioasymptotic approximationshigher-order asymptotic theorymisclassification probabilitiesGaussian ARMA processesGaussian AR(1) processesnumerical simulation study

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Cites Work

• Asymptotic distribution of the discriminant function
• Higher order asymptotic theory for time series analysis
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• An Asymptotic Expansion for the Distribution of the Linear Discriminant Function
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