Statistical inference and asymptotic theory for stationary time series 定常時系列に対する統計的推測と漸近理論
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著者
書誌事項
- タイトル
-
Statistical inference and asymptotic theory for stationary time series
- タイトル別名
-
定常時系列に対する統計的推測と漸近理論
- 著者名
-
柿沢, 佳秀
- 著者別名
-
カキザワ, ヨシヒデ
- 学位授与大学
-
大阪大学
- 取得学位
-
博士 (理学)
- 学位授与番号
-
甲第5649号
- 学位授与年月日
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1996-03-25
注記・抄録
博士論文
目次
- Contents / p1 (0003.jp2)
- 1 Introduction / p1 (0006.jp2)
- 2 Asymptotic efficiency of the sample covariances in Gaussian stationary processes / p4 (0009.jp2)
- 2.1 Introduction / p4 (0009.jp2)
- 2.2 Asymptotic variance and Cramer-Rao bound / p5 (0010.jp2)
- 2.3 Asymptotic efficiency of sample covariances / p7 (0012.jp2)
- 2.4 The case of vector sample autocovariances / p9 (0014.jp2)
- 3 Third order asymptotic propertiesof estimators inGaussian ARMA processes with unknown mean / p11 (0016.jp2)
- 3.1 Introduction / p11 (0016.jp2)
- 3.2 Third order asymptotic efficiency of MLE in ARMA(p,q|μ,σ²) / p12 (0017.jp2)
- 3.3 Third order asymptotic properties of estimators in AR(1|μ,σ²) / p14 (0019.jp2)
- 3.4 Simulation results / p16 (0021.jp2)
- 3.5 Appendix:Stochastic expansion of MLE of ρ / p16 (0021.jp2)
- 4 Saddlepoint approximations for time series statistics / p18 (0023.jp2)
- 4.1 Introduction / p18 (0023.jp2)
- 4.2 Edgeworth and saddlepoint approximations / p19 (0024.jp2)
- 4.3 Saddlepoint approximations in the center of the distribution, using pertur- bated saddlepoint / p21 (0026.jp2)
- 4.4 Numerical examples / p22 (0027.jp2)
- 4.5 Appendix:Approximation for density of [数式] / p25 (0030.jp2)
- 5 Valid Edgeworth expansions of some estimators in non-Gaussian AR(1) process / p28 (0033.jp2)
- 5.1 Introduction / p28 (0033.jp2)
- 5.2 Preliminaries / p28 (0033.jp2)
- 5.3 Basic Theorems / p30 (0035.jp2)
- 5.4 Application to confidence intervals / p31 (0036.jp2)
- 5.5 Simulation results / p34 (0039.jp2)
- 5.6 Appendix / p38 (0043.jp2)
- 6 Discriminant analysis for stationary processes / p45 (0050.jp2)
- 6.1 Introduction / p45 (0050.jp2)
- 6.2 Disparity measure between spectral densities / p46 (0051.jp2)
- 6.3 Discriminant analysis in multivariate stationary processes:nonparametric approach / p48 (0053.jp2)
- 6.4 Discriminant analysis in scalar Gaussian stationary processes:parametric approach / p52 (0057.jp2)
- 6.5 Appendix / p59 (0064.jp2)
- 7 Parameter estimation and testing in stationary vector time series,using the spectral disparity measure / p63 (0068.jp2)
- 7.1 Introduction / p63 (0068.jp2)
- 7.2 The central limit theorem / p64 (0069.jp2)
- 7.3 Hypothesis testing of spectral parameters / p69 (0074.jp2)
- 8 Peak-insensitive estimation and hypothesis testing of integral of non- linear function of spectral density / p72 (0077.jp2)
- 8.1 Introduction / p72 (0077.jp2)
- 8.2 Preliminaries / p73 (0078.jp2)
- 8.3 Main results on asymptotic normality / p75 (0080.jp2)
- 8.4 Applications / p77 (0082.jp2)
- 8.5 Appendix:Proofs / p81 (0086.jp2)
- Acknowledgments / p89 (0094.jp2)
- References / p90 (0095.jp2)
