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Lecture Notes in Statistics

Higher Order Asymptotic Theory for Time Series Analysis

Authors: Taniguchi, Masanobu

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About this book

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 MulĀ­ 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.

Table of contents (7 chapters)

Table of contents (7 chapters)
  • A Survey of the First-Order Asymptotic Theory for Time Series Analysis

    Pages 1-10

    Taniguchi, Masanobu

  • Higher Order Asymptotic Theory for Gaussian ARMA Processes

    Pages 11-61

    Taniguchi, Masanobu

  • Validity of Edgeworth Expansions in Time Series Analysis

    Pages 62-89

    Taniguchi, Masanobu

  • Higher Order Asymptotic Sufficiency, Asymptotic Ancillarity in Time Series Analysis

    Pages 90-103

    Taniguchi, Masanobu

  • Higher Order Investigations for Testing Theory in Time Series Analysis

    Pages 104-115

    Taniguchi, Masanobu

Buy this book

eBook $89.00
price for USA in USD (gross)
  • ISBN 978-1-4612-3154-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $119.99
price for USA in USD
  • ISBN 978-0-387-97546-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Higher Order Asymptotic Theory for Time Series Analysis
Authors
Series Title
Lecture Notes in Statistics
Series Volume
68
Copyright
1991
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-1-4612-3154-7
DOI
10.1007/978-1-4612-3154-7
Softcover ISBN
978-0-387-97546-7
Series ISSN
0930-0325
Edition Number
1
Number of Pages
VIII, 160
Topics