Higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes

This paper deals with the higher-order asymptotic theory for discriminant analysis of Gaussian ARMA processes. Two discriminant statistics are given, then the higher-order approximations for the misclassification probabilities of them are derived. Using them, the higher-order difference of the misclassification probabilities is elucidated. Some numerical examples are also given.

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Year of publication:	1994
Authors:	Zhang, Guoqiang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 20.1994, 4, p. 259-268
Publisher:	Elsevier
Keywords:	ARMA processes Higher-order asymptotic distribution Discriminant statistic Misclassification probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259299