Higher order asymptotic theory for time series analysis
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Word Count
40,000 words, Guess
Page Count
160 pages
Identifiers
- Open LibraryOL1653570M
- ISBN-100387975462
- OCLC Control Number25056397
- OCLC Control Numberhigherorderasymp0000tani
- Library of Congress Control Number91213155
and 1 more
- Goodreads5063977
Classifications
- DDC519.5/5
- LCCQA280 .T36 1991
- LCCT57-57.97
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.
Subjects
Series Statement
- Lecture notes in statistics ;
- 68
- Lecture notes in statistics (Springer Verlag) ;
- v.68.
Other Editions
- Higher order asymptotic theory for time series analysis
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