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September, 1986 Second-Order Risk Structure of GLSE and MLE in a Regression with a Linear Process
Yasuyuki Toyooka
Ann. Statist. 14(3): 1214-1225 (September, 1986). DOI: 10.1214/aos/1176350060

Abstract

In a regression model with an error that is a general linear process, the second-order expansion of the risk matrix of GLSE or MLE is obtained. a set of sufficient conditions for the effect of estimating the structural parameter of the linear process to vanish in the above expasion is obtained. The relation of the covariance matrix of SLSE with those of GLSE and MLE up to $O(T^-2)$ is elucidated.

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Yasuyuki Toyooka. "Second-Order Risk Structure of GLSE and MLE in a Regression with a Linear Process." Ann. Statist. 14 (3) 1214 - 1225, September, 1986. https://doi.org/10.1214/aos/1176350060

Information

Published: September, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0605.62066
MathSciNet: MR856816
Digital Object Identifier: 10.1214/aos/1176350060

Subjects:
Primary: 62F10
Secondary: 62J10

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 3 • September, 1986
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