Higher Order Asymptotic Theory for Time Series Analysis: 68 - Brossura

Taniguchi, Masanobu

Brossura

ISBN 10: 0387975462 ISBN 13: 9780387975467

Casa editrice: Springer, 1991

Riassunto

I received a lot of impact from multivariate analysis, and applied many multivariate methods to the higher order asymptotic theory of vector time series. When I was a student of Osaka University I learned multivariate analysis and time series analysis from Professors Masashi Okamoto and T.

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Contenuti

1 A Survey of the First-Order Asymptotic Theory for Time Series Analysis.- 2 Higher Order Asymptotic Theory for Gaussian Arma Processes.- 2.1. Higher order asymptotic efficiency and Edgeworth expansions.- 2.2. Second-order asymptotic efficiency for Gaussian ARMA processes.- 2.3. Third-order asymptotic efficiency for Gaussian ARMA processes.- 2.4. Normalizing transformations of some statistics of Gaussian ARMA processes.- 2.5. Higher order asymptotic efficiency in time series regression models.- 3 Validity of Edgeworth Expansions in Time Series Analysis.- 3.1. Berry-Esseen theorems for quadratic forms of Gaussian stationary processes.- 3.2. Validity of Edgeworth expansions of generalized maximum likelihood estimators for Gaussian ARMA processes.- 4 Higher Order Asymptotic Sufficiency, Asymptotic Ancillarity in Time Series Analysis.- 4.1. Higher order asymptotic sufficiency for Gaussian ARMA processes.- 4.2. Asymptotic ancillarity in time series analysis.- 5 Higher Order Investigations for Testing Theory in Time Series Analysis.- 5.1. Asymptotic expansions of the distributions of a class of tests under the null hypothesis.- 5.2. Comparisons of powers of a class of tests under a local alternative.- 6 Higher Order Asymptotic Theory for Multivariate Time Series.- 6.1. Asymptotic expansions of the distributions of functions of the eigenvalues of sample covariance matrix in multivariate time series.- 6.2. Asymptotic expansions of the distributions of functions of the eigenvalues of canonical correlation matrix in multivariate time series.- 7 Some Practical Examples.- References.- Author Index.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 1991
• Lingua: Inglese
• ISBN 10: 0387975462
• ISBN 13: 9780387975467
• Rilegatura: Copertina flessibile
• Numero di pagine: 172
• Contatto del produttore: non disponibile
• Persona responsabile: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Germania