Asymptotic Theory of Statistical Inference for Time Series

Language: English

Published by Humana, 2000

0387950397 / 9780387950396

Series: Book 52 of 160 - Springer Series in Statistics

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - There has been much demand for the statistical analysis of dependent ob servations in many fields, for example, economics, engineering and the nat ural sciences. A model that describes the probability structure of a se ries of dependent observations is called a stochastic process. The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual autoregressive (AR), moving average (MA), and autoregressive moving average (ARMA) processes. We deal with a wide variety of stochastic processes, for example, non-Gaussian linear processes, long-memory processes, nonlinear processes, orthogonal increment process es, and continuous time processes. For them we develop not only the usual estimation and testing theory but also many other statistical methods and techniques, such as discriminant analysis, cluster analysis, nonparametric methods, higher order asymptotic theory in view of differential geometry, large deviation principle, and saddlepoint approximation. Because it is d ifficult to use the exact distribution theory, the discussion is based on the asymptotic theory. Optimality of various procedures is often shown by use of local asymptotic normality (LAN), which is due to LeCam. This book is suitable as a professional reference book on statistical anal ysis of stochastic processes or as a textbook for students who specialize in statistics. It will also be useful to researchers, including those in econo metrics, mathematics, and seismology, who utilize statistical methods for stochastic processes. …

Seller Inventory # 9780387950396

Title
Asymptotic Theory of Statistical Inference for Time Series
Author
Yoshihide Kakizawa
Publisher
Humana
Publication year
2000
Condition
Neu
Binding
Buch
Language
English
ISBN 10
0387950397
ISBN 13
9780387950396
Item weight
1,180 grams
Dimensions
241x160x41 mm
Series
Book 52 of 160: Springer Series in Statistics

AHA-BUCH GmbH

Einbeck, Germany

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