Normalizing transformations of some statistics of Gaussian ARMA processes

M. Taniguchi; P. R. Krishnaiah; R. Chao

doi:10.1007/BF00049117

Normalizing transformations of some statistics of Gaussian ARMA processes

M. Taniguchi^*, P. R. Krishnaiah, R. Chao

^*この研究の対応する著者

研究成果: Article › 査読

3 被引用数 (Scopus)

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In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.

本文言語	English
ページ（範囲）	187-197
ページ数	11
ジャーナル	Annals of the Institute of Statistical Mathematics
巻	41
号	1
DOI	https://doi.org/10.1007/BF00049117
出版ステータス	Published - 1989 3月
外部発表	はい

ASJC Scopus subject areas

統計学および確率

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10.1007/BF00049117

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abstract = "In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.",

keywords = "Edgeworth expansion, Fisher's z-transformation, Gaussian ARMA process, maximum likelihood estimator, periodogram, quasi-maximum likelihood estimator, spectral density",

author = "M. Taniguchi and Krishnaiah, {P. R.} and R. Chao",

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KW - Fisher's z-transformation

KW - Gaussian ARMA process

KW - maximum likelihood estimator

KW - periodogram

KW - quasi-maximum likelihood estimator

KW - spectral density

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Normalizing transformations of some statistics of Gaussian ARMA processes

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