Second-order properties of locally stationary processes

Kenichiro Tamaki

doi:10.1111/j.1467-9892.2008.00605.x

Second-order properties of locally stationary processes

Kenichiro Tamaki^*

^*Corresponding author for this work

School of Political Science and Economics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	145-166
Number of pages	22
Journal	Journal of Time Series Analysis
Volume	30
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-9892.2008.00605.x
Publication status	Published - 2009 Jan 1

Keywords

Gaussian locally stationary process
Maximum likelihood estimator
Second-order asymptotic efficiency

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/j.1467-9892.2008.00605.x

Cite this

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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.

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Second-order properties of locally stationary processes

Abstract

Keywords

ASJC Scopus subject areas

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