Preliminary test estimation for spectra

Yusuke Maeyama; Kenichiro Tamaki; Masanobu Taniguchi

doi:10.1016/j.spl.2011.06.006

Preliminary test estimation for spectra

Yusuke Maeyama^*, Kenichiro Tamaki, Masanobu Taniguchi

^*Corresponding author for this work

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

4 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 language	English
Pages (from-to)	1580-1587
Number of pages	8
Journal	Statistics and Probability Letters
Volume	81
Issue number	11
DOIs	https://doi.org/10.1016/j.spl.2011.06.006
Publication status	Published - 2011 Nov

Keywords

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

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2011.06.006

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title = "Preliminary test estimation for spectra",

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.",

keywords = "ARMA model, Preliminary test, Quasi-maximum likelihood estimator, Spectral density, Stationary linear process",

author = "Yusuke Maeyama and Kenichiro Tamaki and Masanobu Taniguchi",

year = "2011",

month = nov,

doi = "10.1016/j.spl.2011.06.006",

language = "English",

volume = "81",

pages = "1580--1587",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "11",

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TY - JOUR

T1 - Preliminary test estimation for spectra

AU - Maeyama, Yusuke

AU - Tamaki, Kenichiro

AU - Taniguchi, Masanobu

PY - 2011/11

Y1 - 2011/11

N2 - 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.

AB - 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.

KW - ARMA model

KW - Preliminary test

KW - Quasi-maximum likelihood estimator

KW - Spectral density

KW - Stationary linear process

UR - http://www.scopus.com/inward/record.url?scp=79960690282&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=79960690282&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2011.06.006

DO - 10.1016/j.spl.2011.06.006

M3 - Article

AN - SCOPUS:79960690282

SN - 0167-7152

VL - 81

SP - 1580

EP - 1587

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 11

ER -

Preliminary test estimation for spectra

Abstract

Keywords

ASJC Scopus subject areas

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