On Estimating the Cumulant Generating Function of Linear Processes

Lade...
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
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
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
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