کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1149047 | 957861 | 2006 | 49 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
LAN theorem for non-Gaussian locally stationary processes and its applications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
For a class of locally stationary processes introduced by Dahlhaus, we derive the LAN theorem under non-Gaussianity and apply the results to asymptotically optimal estimation and testing problems. For a class FF of statistics which includes important statistics, we derive the asymptotic distributions of statistics in FF under contiguous alternatives of unknown parameter. Because the asymptotics depend on the non-Gaussianity of the process, we discuss the non-Gaussian robustness. An interesting feature of effect of non-Gaussianity is elucidated in terms of LAN. Furthermore, the LAN theorem is applied to adaptive estimation when the innovation density is unknown.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 3, 1 March 2006, Pages 640–688
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 3, 1 March 2006, Pages 640–688
نویسندگان
Junichi Hirukawa, Masanobu Taniguchi,