Higher order asymptotic theory for time series analysis

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Springer-Verlag, 1991 - Mathematics - 160 pages
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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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Contents

A SURVEY OF THE FIRSTORDER ASYMPTOTIC
viii
HIGHER ORDER ASYMPTOTIC THEORY
11
VALIDITY OF EDGEWORTH EXPANSIONS
62
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About the author (1991)

Taniguchi, Osaka University, Toyonaka, Japan.

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