Higher Order Asymptotic Theory for Time Series Analysis: Lecture Notes in Statistics, cartea 68
Autor Masanobu Taniguchien Limba Engleză Paperback – 22 oct 1991
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Specificații
ISBN-13: 9780387975467
ISBN-10: 0387975462
Pagini: 160
Ilustrații: VIII, 160 p.
Dimensiuni: 170 x 242 x 9 mm
Greutate: 0.28 kg
Ediția:Softcover reprint of the original 1st ed. 1991
Editura: Springer
Colecția Springer
Seria Lecture Notes in Statistics
Locul publicării:New York, NY, United States
ISBN-10: 0387975462
Pagini: 160
Ilustrații: VIII, 160 p.
Dimensiuni: 170 x 242 x 9 mm
Greutate: 0.28 kg
Ediția:Softcover reprint of the original 1st ed. 1991
Editura: Springer
Colecția Springer
Seria Lecture Notes in Statistics
Locul publicării:New York, NY, United States
Public țintă
ResearchCuprins
1 A Survey of the First-Order Asymptotic Theory for Time Series Analysis.- 2 Higher Order Asymptotic Theory for Gaussian Arma Processes.- 2.1. Higher order asymptotic efficiency and Edgeworth expansions.- 2.2. Second-order asymptotic efficiency for Gaussian ARMA processes.- 2.3. Third-order asymptotic efficiency for Gaussian ARMA processes.- 2.4. Normalizing transformations of some statistics of Gaussian ARMA processes.- 2.5. Higher order asymptotic efficiency in time series regression models.- 3 Validity of Edgeworth Expansions in Time Series Analysis.- 3.1. Berry-Esseen theorems for quadratic forms of Gaussian stationary processes.- 3.2. Validity of Edgeworth expansions of generalized maximum likelihood estimators for Gaussian ARMA processes.- 4 Higher Order Asymptotic Sufficiency, Asymptotic Ancillarity in Time Series Analysis.- 4.1. Higher order asymptotic sufficiency for Gaussian ARMA processes.- 4.2. Asymptotic ancillarity in time series analysis.- 5 Higher Order Investigations for Testing Theory in Time Series Analysis.- 5.1. Asymptotic expansions of the distributions of a class of tests under the null hypothesis.- 5.2. Comparisons of powers of a class of tests under a local alternative.- 6 Higher Order Asymptotic Theory for Multivariate Time Series.- 6.1. Asymptotic expansions of the distributions of functions of the eigenvalues of sample covariance matrix in multivariate time series.- 6.2. Asymptotic expansions of the distributions of functions of the eigenvalues of canonical correlation matrix in multivariate time series.- 7 Some Practical Examples.- References.- Author Index.