Statistical analysis of a class of factor time series models

DOI10.1016/J.JSPI.2005.08.018zbMath1088.62107OpenAlexW1991784311MaRDI QIDQ2369521

Kousuke Maeda, Masanobu Taniguchi, Madan Lal Puri

Publication date: 22 May 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.08.018

zbMATH Keywords

local asymptotic normalityperiodogramspectral densitylocal powerfactor time series modelLAN-based optimality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Quantitative methods for portfolio analysis. MTV model approach
• ARCH models and financial applications
• Asymptotic theory of statistical inference for time series
• On estimation of the integrals of the fourth order cumulant spectral density
• Limiting behavior of functionals of higher-order sample cumulant spectra
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