Preliminary test estimation for spectra

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    Abstract

    For a general non-Gaussian stationary linear process, quasi-maximum likelihood estimation of a subset of the parameters of the spectral density is considered when the complementary subset is suspected to be superfluous. A preliminary test quasi-maximum likelihood estimator (q-MLE) of parameters is introduced and, in the light of its mean square error, is compared with the restricted and unrestricted q-MLE.

    Original languageEnglish
    Pages (from-to)1580-1587
    Number of pages8
    JournalStatistics and Probability Letters
    Volume81
    Issue number11
    DOIs
    Publication statusPublished - 2011 Nov

    Fingerprint

    Quasi-maximum Likelihood
    Preliminary Test
    Maximum Likelihood Estimator
    Subset
    Linear Process
    Spectral Density
    Stationary Process
    Maximum Likelihood Estimation
    Mean square error
    Quasi-maximum likelihood estimator
    Quasi-maximum likelihood estimation
    Spectral density

    Keywords

    • ARMA model
    • Preliminary test
    • Quasi-maximum likelihood estimator
    • Spectral density
    • Stationary linear process

    ASJC Scopus subject areas

    • Statistics, Probability and Uncertainty
    • Statistics and Probability

    Cite this

    Preliminary test estimation for spectra. / Maeyama, Yusuke; Tamaki, Kenichiro; Taniguchi, Masanobu.

    In: Statistics and Probability Letters, Vol. 81, No. 11, 11.2011, p. 1580-1587.

    Research output: Contribution to journalArticle

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