Higher order asymptotic theory for time series analysis

zbMath0729.62086MaRDI QIDQ1189362

Masanobu Taniguchi

Publication date: 18 September 1992

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

zbMATH Keywords

Edgeworth expansionstime series analysislikelihood ratio testsmultivariate time seriesasymptotic sufficiencyRao testsGaussian ARMA processesasymptotic ancillarityBerry-Esseen theorems for quadratic formsHigher order asymptotic theorymodified Wald tests

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Asymptotic properties of parametric tests (62F05)

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