Higher order asymptotic theory for time series analysis
By: Masanobu Taniguchi.
Series: Lecture notes in statistics ;; 68; Lecture notes in statistics (Springer Verlag) ;; v.68.
Publisher: Springer-Verlag
Published: 1991
Place of publication: Berlin; New York
Language: eng
Number of pages: 160
Subjects: Time-series analysis.; Asymptotic distribution (Probability theory)
Description: This book gives higher order asymptotic results in time series analysis. Especially, higher order asymptotic optimality of estimators and power comparison of tests for ARMA processes are discussed. It covers higher order asymptotics of statistics of multivariate stationary processes. Numerical studies are given, and they show that the higher order asymptotic theory is useful and important for time series analysis. Also the validities of Edgeworth expansions of some estimators are proved for dependent situations. Many results will serve as the basis for the further theoretical development and their applications.
Notes: Includes bibliographical references (p. 149-155) and indexes.