Recent Development in Statistical Asymptotic Theory for Time Series Analysis

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  • 時系列解析における最近の統計的漸近理論の発展
  • ジケイレツ カイセキ ニ オケル サイキン ノ トウケイテキゼンキン リロン ノ ハッテン

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Abstract

This paper reviews statistical asymptotic theory for time series. The asymptotic optimality of inference and testing is described in terms of the local asymptotic normality. The results have been applied to financial engineering, biomedical sciences and econometrics etc.

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