Asymptotic Expansion Under Degeneracy
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- Sakamoto Yuji
- Faculty of Human Environment, Hiroshima International University
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- Yoshida Nakahiro
- Graduate School of Mathematical Sciences, University of Tokyo
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Description
We will consider a stochastic expansion described by random variables whose covariance matrix is asymptotically degenerate. Though the conventional approach with Bhattacharya-Ghosh's transform requires the nondegeneracy of the covariance matrix, it is known that this method still works even in degenerate cases with the help of the so-called global approach. In this paper, we explain this fact and also mention, as an example, the third order asymptotic expansion of the maximum likelihood estimator for the O-U process.
Journal
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 33 (2), 145-156, 2003
THE JAPAN STATISTICAL SOCIETY
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Details 詳細情報について
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- CRID
- 1390282680263280000
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- NII Article ID
- 110003144460
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- NII Book ID
- AA1105098X
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- ISSN
- 03895602
- 13486365
- 18822754
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- MRID
- 2039891
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- NDL BIB ID
- 6885659
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- Text Lang
- en
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- Abstract License Flag
- Disallowed