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Second-order properties of locally stationary processes

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Author Info
Kenichiro Tamaki
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. Copyright 2009 The Author. Journal compilation 2009 Blackwell Publishing Ltd

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2008.00605.x
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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 30 (2009)
Issue (Month): 1 (01)
Pages: 145-166
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Handle: RePEc:bla:jtsera:v:30:y:2009:i:1:p:145-166

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