Minimax estimation for time series models

DOI10.1007/S40300-021-00217-6zbMath1478.62261OpenAlexW3174947331MaRDI QIDQ2070661

Masanobu Taniguchi, Yan Liu

Publication date: 24 January 2022

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-021-00217-6

zbMATH Keywords

prediction errorBayes estimatorJeffreys' priorminimax estimatorWhittle estimatorrisk functionvector autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Minimax procedures in statistical decision theory (62C20)

Related Items (1)

Higher‐order asymptotics of minimax estimators for time series

Cites Work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Approximations for stationary covariance matrices and their inverses with application to ARMA models
• Asymptotic theory of statistical inference for time series
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• Non-regular estimation theory for piecewise continuous spectral densities
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Minimax estimation for time series models