Higher Order Asymptotic Theory for Time Series Analysis /
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 studi...
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY :
Springer New York,
1991.
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| Series: | Lecture notes in statistics (Springer-Verlag) ;
68. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (VIII, 160 pages 10 illustrations) |
| ISBN: | 9781461231547 (electronic bk.) 146123154X (electronic bk.) |