TY - JOUR
T1 - Second-order properties of locally stationary processes
AU - Tamaki, Kenichiro
PY - 2009/1/1
Y1 - 2009/1/1
N2 - 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.
AB - 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.
KW - Gaussian locally stationary process
KW - Maximum likelihood estimator
KW - Second-order asymptotic efficiency
UR - http://www.scopus.com/inward/record.url?scp=58149141903&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=58149141903&partnerID=8YFLogxK
U2 - 10.1111/j.1467-9892.2008.00605.x
DO - 10.1111/j.1467-9892.2008.00605.x
M3 - Article
AN - SCOPUS:58149141903
VL - 30
SP - 145
EP - 166
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
SN - 0143-9782
IS - 1
ER -