THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL

研究成果: Article査読

3 被引用数 (Scopus)

抄録

Abstract. In this note, we shall investigate third‐order asymptotic properties of BLUE and LSE for a regression model with ARMA residual. In the first place we shall evaluate the asymptotic mean square errors of BLUE and LSE up to third order. For appropriate regression variables (constant or harmonic functions), the asymptotic mean square error of LSE coincides with that of BLUE up to second order. Then we shall evaluate the difference of the asymptotic mean square errors of LSE and BLUE at third order. Secondly we shall show that BLUE is third‐order asymptotically efficient in the sense of the highest probability concentration around the true value in the third‐order Edgeworth expansion.

本文言語English
ページ(範囲)111-114
ページ数4
ジャーナルJournal of Time Series Analysis
8
1
DOI
出版ステータスPublished - 1987
外部発表はい

ASJC Scopus subject areas

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

フィンガープリント 「THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル