On Estimating the Cumulant Generating Function of Linear Processes
| dc.contributor.author | Ghosh, Sucharita | deu |
| dc.contributor.author | Beran, Jan | |
| dc.date.accessioned | 2014-04-15T11:57:50Z | deu |
| dc.date.available | 2014-04-15T11:57:50Z | deu |
| dc.date.issued | 2006 | |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | |
| dc.identifier.citation | Annals of the Institute of Statistical Mathematics ; 58 (2006), 1. - S. 53-71 | deu |
| dc.identifier.doi | 10.1007/s10463-005-0009-5 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/27577 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2014-04-15 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject.ddc | 510 | deu |
| dc.title | On Estimating the Cumulant Generating Function of Linear Processes | eng |
| dc.type | JOURNAL_ARTICLE | deu |
| dspace.entity.type | Publication | |
| kops.citation.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}
} | |
| kops.citation.iso690 | GHOSH, 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 | deu |
| kops.citation.iso690 | GHOSH, 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 | eng |
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| kops.identifier.nbn | urn:nbn:de:bsz:352-275770 | deu |
| kops.sourcefield | Annals of the Institute of Statistical Mathematics. 2006, <b>58</b>(1), pp. 53-71. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-005-0009-5 | deu |
| kops.sourcefield.plain | 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 | deu |
| kops.sourcefield.plain | 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 | eng |
| kops.submitter.email | christoph.petzmann@uni-konstanz.de | deu |
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| source.identifier.issn | 0020-3157 | |
| source.periodicalTitle | Annals of the Institute of Statistical Mathematics |
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