HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES

DOI10.1111/j.1467-9892.1991.tb00070.xzbMath0714.62090OpenAlexW2035796675MaRDI QIDQ3200434

Myint Swe, Masanobu Taniguchi

Publication date: 1991

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00070.x

zbMATH Keywords

spectral densityweighted estimatorEdgeworth expansionpower comparisonnormalizing transformationsimple hypothesisthird-order asymptotically efficientlocal powersGaussian ARMA processFisher's z transformationhigher-order asymptotic propertieschi-square asymptotic expansionssecond- order asymptotically efficientsecond-order median unbiased estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Asymptotic expansions of Bayes estimators for small diffusions ⋮ Higher‐order asymptotics of minimax estimators for time series

Cites Work

• Asymptotic optimality of the generalized Bayes estimator in multiparameter cases
• The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes
• Normalizing transformations of some statistics in multivariate analysis

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