Asymptotic theory of statistical inference for time series

By 谷口正信, 柿沢佳秀. 2000

241 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ef42f3a47170097f866cfe0b4d17e8aa2b1b7678

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Citations in the corpus

Testing nonparametric and semiparametric hypotheses in vector stationary processes (2008, background): “Taniguchi and Kakizawa [60] studied parameter estimation for multivariate processes based on general discrepancy functions of the form”
Locally Stationary Processes (2011, methodology): “Beyond that the theory can be used to derive the convergence of experiments for Gaussian stationary processes in the Hájek-Le Cam sense, construct the properties of many tests and derive the properties of the exact MLE and the Whittle estimate (cf. Dzhaparidze (1986); Taniguchi and Kakizawa (2000)).”
On the range of validity of the autoregressive sieve bootstrap (2012, unknown): “Under standard and mild regularity conditions [see, for instance, Dahlhaus (1985), Theorem 2.1 and Taniguchi and Kakizawa (2000), Chapter 6.1], it is known that √ n(Tn − γ (h)) ⇒ N(0, τ 2) where τ 2 = 2π ∫ π −π 4 cos(λh)2f 2(λ) dλ + ∫ ∫ 4 cos(λ1h) cos(λ2h)f4(−λ1, λ2,−λ2) dλ1 dλ2.”
Asymptotic statistical equivalence for scalar ergodic diffusions (2006, methodology): “Under ergodicity assumptions and for large T it is well known that the methodology developed for nonparametric regression can be used for inference on the drift function, for an overview see Taniguchi and Kakizawa (2000) for autoregressive processes and Kutoyants (2003), Fan (2004) for difiusions.”
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities (2009, methodology): “This rate is identical to the rate that was used in Taniguchi and Kondo (1993), Taniguchi et al. (1996) and Taniguchi and Kakizawa (2000).”
Optimal asymmetric kernels (2004, unknown): “See Anderson (1971) (ch. 9) or Granger and Newbold (1986) (ch. 2) for an introduction, and Taniguchi and Kakizawa (2000) (ch. 6) for more recent applications.”