This book gives higher order asymptotic results in time series analysis. Especially, higher order asymptotic optimality of estimators and power comparison of tests for ARMA processes are discussed. It
This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stat
This book integrates the fundamentals of asymptotic theory of statistical inference for time series under nonstandard settings, e.g., infinite variance processes, not only from the point of view of ef
Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Bala
?This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe th
