Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes

Masanobu Taniguchi*

*この研究の対応する著者

研究成果: Article査読

23 被引用数 (Scopus)

抄録

In this paper we investigate various third-order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes by the third-order Edgeworth expansions of the sampling distributions. We define a third-order asymptotic efficiency by the highest probability concentration around the true value with respect to the third-order Edgeworth expansion. Then we show that the maximum likelihood estimator is not always third-order asymptotically efficient in the class A3 of third-order asymptotically median unbiased estimators. But, if we confine our discussions to an appropriate class D (⊂ A3) of estimators, we can show that appropriately modified maximum likelihood estimator is always third-order asymptotically efficient in D.

本文言語English
ページ(範囲)1-31
ページ数31
ジャーナルJournal of Multivariate Analysis
18
1
DOI
出版ステータスPublished - 1986 2
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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