Publikation:

On Estimating the Cumulant Generating Function of Linear Processes

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2006

Autor:innen

Ghosh, Sucharita

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-275770
DOI (zitierfähiger Link)
https://doi.org/10.1007/s10463-005-0009-5
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Annals of the Institute of Statistical Mathematics. 2006, 58(1), pp. 53-71. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-005-0009-5

Zusammenfassung

We compare two estimates of the cumulant generating function of a stationary linear process. The first estimate is based on the empirical moment generating function. The second estimate uses the linear representation of the process and the empirical moment generating function of the innovations. Asymptotic expressions for the mean square errors are derived under short- and long-range dependence. For long-memory processes, the estimate based on the linear representation turns out to have a better rate of convergence. Thus, exploiting the linear structure of the process leads to an infinite gain in asymptotic efficiency.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Verknüpfte Datensätze

Zitieren

ISO 690GHOSH, Sucharita, Jan BERAN, 2006. On Estimating the Cumulant Generating Function of Linear Processes. In: Annals of the Institute of Statistical Mathematics. 2006, 58(1), pp. 53-71. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-005-0009-5
BibTex
@article{Ghosh2006Estim-27577,
  year={2006},
  doi={10.1007/s10463-005-0009-5},
  title={On Estimating the Cumulant Generating Function of Linear Processes},
  number={1},
  volume={58},
  issn={0020-3157},
  journal={Annals of the Institute of Statistical Mathematics},
  pages={53--71},
  author={Ghosh, Sucharita and Beran, Jan}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/27577">
    <dcterms:issued>2006</dcterms:issued>
    <dc:contributor>Ghosh, Sucharita</dc:contributor>
    <dc:language>eng</dc:language>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:bibliographicCitation>Annals of the Institute of Statistical Mathematics ; 58 (2006), 1. - S. 53-71</dcterms:bibliographicCitation>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:abstract xml:lang="eng">We compare two estimates of the cumulant generating function of a stationary linear process. The first estimate is based on the empirical moment generating function. The second estimate uses the linear representation of the process and the empirical moment generating function of the innovations. Asymptotic expressions for the mean square errors are derived under short- and long-range dependence. For long-memory processes, the estimate based on the linear representation turns out to have a better rate of convergence. Thus, exploiting the linear structure of the process leads to an infinite gain in asymptotic efficiency.</dcterms:abstract>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-15T11:57:50Z</dc:date>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27577"/>
    <dc:creator>Ghosh, Sucharita</dc:creator>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:title>On Estimating the Cumulant Generating Function of Linear Processes</dcterms:title>
    <dc:contributor>Beran, Jan</dc:contributor>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-15T11:57:50Z</dcterms:available>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:creator>Beran, Jan</dc:creator>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen