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- catalog abstract "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.".
- catalog contributor b3421170.
- catalog created "c1991.".
- catalog date "1991".
- catalog date "c1991.".
- catalog dateCopyrighted "c1991.".
- catalog description "Contents: A Survey of the First-Order Asymptotic Theory for Time Series Analysis -- Higher Order Asymptotic Theory for Gaussian Arma Processes -- Validity of Edgeworth Expansions in Time Series Analysis -- Higher Order Asymptotic Sufficiency, Asymptotic Ancillarity in Time Series Analysis -- Higher Order Investigations for Testing Theory in Time Series Analysis -- Higher Order Asymptotic Theory for Multivariate Time Series -- Some Practical Examples -- Appendix -- References -- Author Index -- Subject Index.".
- catalog description "Includes bibliographical references (p. 149-155) and indexes.".
- catalog 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.".
- catalog extent "viii, 160 p. :".
- catalog identifier "0387975462 (U.S.)".
- catalog isPartOf "Lecture notes in statistics (Springer-Verlag) ; 68.".
- catalog isPartOf "Lecture notes in statistics ; 68".
- catalog issued "1991".
- catalog issued "c1991.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer-Verlag,".
- catalog subject "519.5/5 20".
- catalog subject "Asymptotic distribution (Probability theory)".
- catalog subject "QA280 .T36 1991".
- catalog subject "Statistics.".
- catalog subject "Time-series analysis.".
- catalog tableOfContents "Contents: A Survey of the First-Order Asymptotic Theory for Time Series Analysis -- Higher Order Asymptotic Theory for Gaussian Arma Processes -- Validity of Edgeworth Expansions in Time Series Analysis -- Higher Order Asymptotic Sufficiency, Asymptotic Ancillarity in Time Series Analysis -- Higher Order Investigations for Testing Theory in Time Series Analysis -- Higher Order Asymptotic Theory for Multivariate Time Series -- Some Practical Examples -- Appendix -- References -- Author Index -- Subject Index.".
- catalog title "Higher order asymptotic theory for time series analysis / Masanobu Taniguchi.".
- catalog type "text".