Asymptotically optimal estimation in misspecified time series models

DOI10.1214/aos/1032526951zbMath0865.62063OpenAlexW4236860674MaRDI QIDQ1816966

Rainer Dahlhaus, Wolfgang Wefelmeyer

Publication date: 29 January 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1032526951

zbMATH Keywords

efficiencystationary processkernel estimatorminimum distance estimatesasymptotically efficient estimationGaussian maximum likelihood estimate\(h\)-step prediction errormisspecified parametric time series model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (21)

Statistical inference for stationary linear models with tapered data ⋮ HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ Optimality of estimators for misspecified semi-Markov models ⋮ Optimal real-time filters for linear prediction problems ⋮ Efficient estimation of spectral functionals for continuous-time stationary models ⋮ Robust estimation for continuous-time linear models with memory ⋮ Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors ⋮ Modeling of time series arrays by multistep prediction or likelihood methods. ⋮ Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data ⋮ Goodness-of-fit tests for the spatial spectral density ⋮ Selection between models through multi-step-ahead forecasting ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ On partial-sum processes of ARMAX residuals ⋮ A local spectral approach for assessing time series model misspecification ⋮ Distribution-free specification tests for dynamic linear models ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Convex models, MLE and misspecification ⋮ Predictability, real time estimation, and the formulation of unobserved components models ⋮ Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation ⋮ Statistical estimation for stationary models with tapered data

Cites Work

• The bracketing condition for limit theorems on stationary linear processes
• Maximum likelihood estimation of the spectral density parameter
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• Time series: theory and methods
• On bilinear forms in Gaussian random variables and Toeplitz matrices
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• Maximum entropy interpretation of autoregressive spectral densities
• Minimum Hellinger distance estimates for parametric models
• Efficiency of estimators for partially specified filtered models
• Estimation and information in stationary time series
• On estimation of parameters of Gaussian stationary processes
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Asymptotically Efficient Nonparametric Estimation of Functionals of a Spectral Density Having Zeros
• A General Approach to the Optimality of Minimum Distance Estimators
• Maximum likelihood estimator and Kullback - Leibler information in misspecified Markov chain models
• Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Asymptotic inference in stationary Gaussian time-series
• A characterization of limiting distributions of regular estimates
• On Methods for Obtaining Asymptotically Efficient Spectral Parameter Estimates for a Stationary Gaussian Process with Rational Spectral Density
• The asymptotic theory of linear time-series models
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Asymptotically optimal estimation in misspecified time series models