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Higher Order Asymptotic Theory for Time Series Analysis by Masanobu Taniguchi

Higher Order Asymptotic Theory for Time Series Analysis

by Masanobu Taniguchi
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Book cover type: Paperback
  • ISBN13: 9780387975467
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 160
  • Original Price: EUR 49.99
  • Language: English
  • Edition: Softcover Repri
  • Item Weight: 304 grams
  • BISAC Subject(s): Probability & Statistics / General, General, and Applied

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.

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