THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL

DOI10.1111/j.1467-9892.1987.tb00424.xzbMath0613.62115OpenAlexW2138695183MaRDI QIDQ4720614

Masanobu Taniguchi

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00424.x

zbMATH Keywords

LSEBLUEEdgeworth expansionARMAautoregressive moving averageleast squares estimatebest linear unbiased estimatethird-order asymptotically efficientasymptotic mean square errorsthird-order asymptotic propertiestimes series regression

Mathematics Subject Classification ID

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

Related Items (1)

More higher-order efficiency: Concentration probability

Cites Work

• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency

This page was built for publication: THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL