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UMVU Estimation for Time Series

In: Research Papers in Statistical Inference for Time Series and Related Models

Author

Listed:
  • Xiaofei Xu

    (Wuhan University)

  • Masanobu Taniguchi

    (Waseda University)

  • Naoya Murata

    (Waseda University)

Abstract

This paper introduces the sufficiency, completeness, and uniformly minimum variance unbiased estimation for Gaussian circular ARMA processes. We propose a uniformly most powerful (UMP) test by monotone likelihood ratio for the coefficient parameter of the Gaussian circular AR(1) models. The numerical study shows good performance of the UMP test with composite null and composite alternative hypotheses for the Gaussian circular AR(1) models.

Suggested Citation

  • Xiaofei Xu & Masanobu Taniguchi & Naoya Murata, 2023. "UMVU Estimation for Time Series," Springer Books, in: Yan Liu & Junichi Hirukawa & Yoshihide Kakizawa (ed.), Research Papers in Statistical Inference for Time Series and Related Models, chapter 0, pages 555-564, Springer.
    • Handle: RePEc:spr:sprchp:978-981-99-0803-5_25
    DOI: 10.1007/978-981-99-0803-5_25
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