Second-order properties of locally stationary processes

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    In this article, we investigate an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second-order approximation. In the case where the model is correctly specified, it is shown that appropriate modifications of the maximum likelihood estimator for Gaussian locally stationary processes is second-order asymptotically efficient. We also discuss second-order robustness properties.

    Original languageEnglish
    Pages (from-to)145-166
    Number of pages22
    JournalJournal of Time Series Analysis
    Volume30
    Issue number1
    DOIs
    Publication statusPublished - 2009 Jan

    Fingerprint

    Locally Stationary Processes
    Maximum Likelihood Estimator
    Maximum likelihood
    Second-order Approximation
    Robustness
    Stationary process
    Maximum likelihood estimator
    Model

    Keywords

    • Gaussian locally stationary process
    • Maximum likelihood estimator
    • Second-order asymptotic efficiency

    ASJC Scopus subject areas

    • Applied Mathematics
    • Statistics and Probability
    • Statistics, Probability and Uncertainty

    Cite this

    Second-order properties of locally stationary processes. / Tamaki, Kenichiro.

    In: Journal of Time Series Analysis, Vol. 30, No. 1, 01.2009, p. 145-166.

    Research output: Contribution to journalArticle

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