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© 1991

Higher Order Asymptotic Theory for Time Series Analysis

Book

Part of the Lecture Notes in Statistics book series (LNS, volume 68)

Table of contents

About this book

Introduction

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 Mul­ 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.

Keywords

Covariance matrix Estimator Likelihood Time series Variance correlation

Authors and affiliations

  1. 1.Department of Mathematical Science, Faculty of Engineering ScienceOsaka UniversityToyonakaJapan

Bibliographic information

  • Book Title Higher Order Asymptotic Theory for Time Series Analysis
  • Authors Masanobu Taniguchi
  • Series Title Lecture Notes in Statistics
  • DOI https://doi.org/10.1007/978-1-4612-3154-7
  • Copyright Information Springer-Verlag New York 1991
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-0-387-97546-7
  • eBook ISBN 978-1-4612-3154-7
  • Series ISSN 0930-0325
  • Edition Number 1
  • Number of Pages VIII, 160
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Applications of Mathematics
  • Buy this book on publisher's site