Asymptotic Theory of Statistical Inference for Time Series

By M. Taniguchi, Yoshihide Kakizawa. 2000

212 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistical and Nonlinear Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/15ee835517f9e58a8071a15120b6bb8321218d7f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Management Science and Operations Research

1. Gregory Rice
2. Lajos Horv'ath
3. Konstantinos Fokianos
4. A. C. Davison
5. Xanthi Pedeli

In Statistical and Nonlinear Physics

1. Lajos Horv'ath
2. Gregory Rice
3. Konstantinos Fokianos
4. A. C. Davison
5. Xanthi Pedeli

In Statistics and Probability

1. Gregory Rice
2. A. C. Davison
3. Lajos Horv'ath
4. Konstantinos Fokianos
5. Xanthi Pedeli
6. Alexander Aue
7. Claudia Kirch
8. Piotr Kokoszka

Citations in the corpus

• Extensions of some classical methods in change point analysis (2014, background): “(4.1) In addition to Taniguchi and Kakizawa (2000) and Liu and Wu (2010), a discussion of Bartlett-type kernel estimators satisfying (4.1) is in Brockwell and Davis (1991).”
• Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “ous orthogonal increment process fZ˝ j (!) : ˇ!ˇg, for every j2f1;:::;dgand ˝2[0;1], such that the Cramer representation IfX t;j q j(˝)g= Z ˇ ˇ eit!dZ˝ j (!) 7 holds [cf., e.g., Theorem 1.2.15 in Taniguchi and Kakizawa (2000)]. Note the fact that (X t;j) t2Z is strictly stationary and therefore (IfX”
• Asymptotic Properties of GARCH-X Processes (2015, unknown): “4 in Taniguchi and Kakizawa (2000)).”
• Contiguity of the Whittle measure for a Gaussian time series (2004, unknown): “Taniguchi (1987) and Taniguchi & Kakizawa (2000) provided results and references on higher-order efficiency of maximum likelihood estimators using (4) in autoregressive moving average models.”
• Dynamic Orthogonal Components for Multivariate Time Series (2011, unknown): “(10) Note that xt is strong mixing with geometric rate if there ex- ists constants K > 0 and a ∈ (0,1) such that sup A∈σ 〈xt,t≤0〉,B∈σ 〈xt,t>k〉 |P(A ∩ B) − P(A)P(B)| = φk ≤ Kak, in which φk is referred to as the mixing rate function (see Taniguchi and Kakizawa 2000).”
• Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation (2015, methodology): “Below we suggest a saddlepoint approximation to (2) (see, e.g., Butler 2007; Taniguchi and Kakizawa 2000; Davison 2003, chap.”