Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model

DOI10.15559/21-VMSTA187zbMath1478.62256OpenAlexW3188448216MaRDI QIDQ2068980

Fumiaki Honda, Takeshi Kurosawa

Publication date: 20 January 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/21-vmsta187

zbMATH Keywords

asymptotic expansionbias reductionconditional maximum likelihood estimatorsGaussian second-order moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stationary stochastic processes (60G10)

Uses Software

• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The second-order bias and mean squared error of estimators in time-series models
• Time series: theory and methods.
• Bias correction in ARMA models
• A general result on the estimation bias of ARMA models
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Time Series Analysis and Its Applications
• Improved prediction limits for a general class of Gaussian models
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Bias reduction of the maximum-likelihood estimator for a conditional Gaussian MA(1) model

This page was built for publication: Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model