Normalizing transformations of some statistics of Gaussian ARMA processes

M. Taniguchi; P. R. Krishnaiah; R. Chao

doi:10.1007/BF00049117

Normalizing transformations of some statistics of Gaussian ARMA processes

M. Taniguchi^*, P. R. Krishnaiah, R. Chao

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.

Original language	English
Pages (from-to)	187-197
Number of pages	11
Journal	Annals of the Institute of Statistical Mathematics
Volume	41
Issue number	1
DOIs	https://doi.org/10.1007/BF00049117
Publication status	Published - 1989 Mar
Externally published	Yes

Keywords

Edgeworth expansion
Fisher's z-transformation
Gaussian ARMA process
maximum likelihood estimator
periodogram
quasi-maximum likelihood estimator
spectral density

ASJC Scopus subject areas

Statistics and Probability

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10.1007/BF00049117

Cite this

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title = "Normalizing transformations of some statistics of Gaussian ARMA processes",

abstract = "In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.",

keywords = "Edgeworth expansion, Fisher's z-transformation, Gaussian ARMA process, maximum likelihood estimator, periodogram, quasi-maximum likelihood estimator, spectral density",

author = "M. Taniguchi and Krishnaiah, {P. R.} and R. Chao",

year = "1989",

month = mar,

doi = "10.1007/BF00049117",

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journal = "Annals of the Institute of Statistical Mathematics",

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AU - Taniguchi, M.

AU - Krishnaiah, P. R.

AU - Chao, R.

PY - 1989/3

Y1 - 1989/3

N2 - In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.

AB - In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.

KW - Edgeworth expansion

KW - Fisher's z-transformation

KW - Gaussian ARMA process

KW - maximum likelihood estimator

KW - periodogram

KW - quasi-maximum likelihood estimator

KW - spectral density

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JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

IS - 1

ER -

Normalizing transformations of some statistics of Gaussian ARMA processes

Abstract

Keywords

ASJC Scopus subject areas

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