ON THE CALCULATION OF CUMULANTS OF ESTIMATORS ARISING FROM A LINEAR TIME-SERIES REGRESSION-MODEL

被引：1
|
作者：
ZHANG, HC
SHAMAN, P
机构：
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 1991年 / 37卷 / 02期
关键词：
LINEAR TIME SERIES REGRESSION MODEL; CUMULANTS; DISCRETE FOURIER TRANSFORM; ASYMPTOTIC NORMALITY;
D O I：
10.1016/0047-259X(91)90077-F
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Bounds for higher-order cumulants of statistics arising from a linear time series regression model are investigated. A result given in Brillinger is proved and extended. The bounds permit derivation of asymptotic moments and asymptotic normality for estimators of parameters in the model. Two examples are given as illustrations. © 1991.
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页码：135 / 150
页数：16
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