THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN

DOI10.1111/j.1467-9892.1996.tb00283.xzbMath0858.62076OpenAlexW1985402656MaRDI QIDQ4715707

Yoshihide Kakizawa

Publication date: 23 March 1997

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00283.x

zbMATH Keywords

nuisance parametersEdgeworth expansionmean squared errorsconcentration probabilityunknown meaninnovation variancebias adjusted maximum likelihood estimatorGaussian autoregressive moving-average processesmean corrected estimatorthird-order asymptotic optimality

Mathematics Subject Classification ID

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

Related Items

Bias-correction of some estimators in the INAR(1) process ⋮ On exponential rates of estimators of the parameter in the first-order autoregressive process

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