Higher Order Asymptotic Theory for Time Series Analysis

出版者:Springer Verlag

作者:Taniguchi, Masanobu

页数:168

出版时间:1991-10

价格:$ 111.87

装帧:Pap

isbn号码:9780387975467

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.