Higher order asymptotic theory for normalizing transformations of maximum likelihood estimators

zbMath0840.62031MaRDI QIDQ1909459

Masanobu Taniguchi, Madan Lal Puri

Publication date: 24 June 1996

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

time seriesmaximum likelihood estimatorsEdgeworth expansionobserved informationhigher-order asymptotic theorysaddlepoint expansionvariance stabilizing transformationk-th-order normalizing transformationmodified signed log likelihood ratio

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Higher order normalizing transformations of asymptotic \(U\)-statistics for removing bias, skewness and kurtosis ⋮ On large deviation asymptotics of some tests in time series

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