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Taniguchi, Masanobu

On the second order asymptotic efficiency of estimators of Gaussian ARMA processes. (English) Zbl 0509.62086

Ann. Stat. 11, 157-169 (1983).
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Cited in 1 Review
Cited in 25 Documents

MSC:

62M15 Inference from stochastic processes and spectral analysis
62F12 Asymptotic properties of parametric estimators
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics

Keywords:

second order asymptotic efficiency of estimators of Gaussian ARMA processes; quasi-maximum likelihood estimators; degree of concentration of sampling distribution; autoregressive moving average processes; spectral density; periodogram; Toeplitz matrix; Gram-Charlier expansion; residue theorem

Citations:

Zbl 0463.62026
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