Statistical analysis of dyadic stationary processes

M. Taniguchi, L. C. Zhao, P. R. Krishnaiah, Z. D. Bai

研究成果: Article査読

2 被引用数 (Scopus)

抄録

In this paper we consider a multiple dyadic stationary process with the Walsh spectral density matrix fθ(λ), where θ is an unknown parameter vector. We define a quasi-maximum likelihood estimator {Mathematical expression} of θ, and give the asymptotic distribution of {Mathematical expression} under appropriate conditions. Then we propose an information criterion which determines the order of the model, and show that this criterion gives a consistent order estimate. As for a finite order dyadic autoregressive model, we propose a simpler order determination criterion, and discuss its asymptotic properties in detail. This criterion gives a strong consistent order estimate. In Section 5 we discuss testing whether an unknown parameter θ satisfies a linear restriction. Then we give the asymptotic distribution of the likelihood ratio criterion under the null hypothesis.

本文言語English
ページ(範囲)205-225
ページ数21
ジャーナルAnnals of the Institute of Statistical Mathematics
41
2
DOI
出版ステータスPublished - 1989 6 1
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率

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