Author | Taniguchi, Masanobu. author |
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Title | Higher Order Asymptotic Theory for Time Series Analysis [electronic resource] / by Masanobu Taniguchi |
Imprint | New York, NY : Springer New York, 1991 |
Connect to | http://dx.doi.org/10.1007/978-1-4612-3154-7 |
Descript | VIII, 160 p. online resource |
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