Masanobu Taniguchi

Higher Order Asymptotic Theory for Time Series Analysis (eBook, PDF)

• Format: PDF

Produktbeschreibung

The initial basis of this book was a series of my research papers, that I listed in References. I have many people to thank for the book's existence. Regarding higher order asymptotic efficiency I thank Professors Kei Takeuchi and M. Akahira for their many comments. I used their concept of efficiency for time series analysis. During the summer of 1983, I had an opportunity to visit The Australian National University, and could elucidate the third-order asymptotics of some estimators. I express my sincere thanks to Professor E.J. Hannan for his warmest encouragement and kindness. Multivariate time series analysis seems an important topic. In 1986 I visited Center for Mul tivariate Analysis, University of Pittsburgh. I received a lot of impact from multivariate analysis, and applied many multivariate methods to the higher order asymptotic theory of vector time series. I am very grateful to the late Professor P.R. Krishnaiah for his cooperation and kindness. In Japan my research was mainly performed in Hiroshima University. There is a research group of statisticians who are interested in the asymptotic expansions in statistics. Throughout this book I often used the asymptotic expansion techniques. I thank all the members of this group, especially Professors Y. Fujikoshi and K. Maekawa foItheir helpful discussion. When I was a student of Osaka University I learned multivariate analysis and time series analysis from Professors Masashi Okamoto and T. Nagai, respectively. It is a pleasure to thank them for giving me much of research background.

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Produktdetails

• Verlag: Springer US
• Seitenzahl: 160
• Erscheinungstermin: 6. Dezember 2012
• Englisch
• ISBN-13: 9781461231547
• Artikelnr.: 43991819

Inhaltsangabe

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.