ProfessorRajBhansali

BEENSTOCK M, BHANSALI RJ, 1980, ANALYSIS OF COCOA PRICE SERIES BY AUTOREGRESSIVE MODEL-FITTING TECHNIQUES, JOURNAL OF AGRICULTURAL ECONOMICS, Vol: 31, Pages: 237-242, ISSN: 0021-857X

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• Citations: 4

BHANSALI RJ, 1979, MIXED SPECTRUM ANALYSIS OF THE LYNX DATA, JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, Vol: 142, Pages: 199-209, ISSN: 0035-9238

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• Citations: 12

BHANSALI RJ, 1978, LINEAR PREDICTION BY AUTOREGRESSIVE MODEL FITTING IN TIME DOMAIN, ANNALS OF STATISTICS, Vol: 6, Pages: 224-231, ISSN: 0090-5364

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• Citations: 57

BHANSALI RJ, 1977, ASYMPTOTIC PROPERTIES OF WIENER-KOLMOGOROV PREDICTOR .2., JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, Vol: 39, Pages: 66-72, ISSN: 0035-9246

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• Citations: 10

BHANSALI RJ, DOWNHAM DY, 1977, SOME PROPERTIES OF ORDER OF AN AUTOREGRESSIVE MODEL SELECTED BY A GENERALIZATION OF AKAIKES EPF CRITERION, BIOMETRIKA, Vol: 64, Pages: 547-551, ISSN: 0006-3444

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• Citations: 144

BHANSALI RJ, 1976, ESTIMATION OF MOVING AVERAGE REPRESENTATION OF A STATIONARY NONDETERMINISTIC PROCESS, BIOMETRIKA, Vol: 63, Pages: 408-410, ISSN: 0006-3444

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• Citations: 4

BHANSALI RJ, 1974, ASYMPTOTIC PROPERTIES OF WIENER-KOLMOGOROV PREDICTOR .1., JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, Vol: 36, Pages: 61-73, ISSN: 0035-9246

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• Citations: 28

BHANSALI RJ, 1974, ASYMPTOTIC MEAN-SQUARE ERROR OF PREDICTING MORE THAN ONE-STEP AHEAD USING REGRESSION METHOD, THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS, Vol: 23, Pages: 35-42, ISSN: 0035-9254

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• Citations: 4

BHANSALI RJ, 1973, MONTE-CARLO COMPARISON OF REGRESSION METHOD AND SPECTRAL METHODS OF PREDICTION, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, Vol: 68, Pages: 621-625, ISSN: 0162-1459

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• Citations: 18

BHANSALI RJ, 1973, SIMULATION STUDY OF WIENER-KOLMOGOROV PREDICTIOR, SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, Vol: 35, Pages: 357-376, ISSN: 0976-836X

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• Citations: 2

GOODHART CAE, BHANSALI RJ, 1970, POLITICAL ECONOMY, POLITICAL STUDIES, Vol: 18, Pages: 43-106, ISSN: 0032-3217

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• Citations: 210

Bhansali RJ, Giraitis L, Kokoszka P, Decomposition and asymptotic properties of quadratic forms in linear variables

An asymptotic theory is developed for a quadratic form Q_{n,X} in linear random variables X1,…,X_{n} which can exhibit long, short, or negative dependence and whose kernel depends on n. It offers conditions under which Q_{n,X} can be approximated in the L1 and L2 norms by a form Q_{n,Z} in i.i.d. random variables Z1,…,Z_{n}. In some cases, the rate of approximation is faster by the factor n^{-1/2} compared to existing results. The approximation, together with a new CLT for quadratic forms in i.i.d. variables Z_{k} with non-zero diagonal elements, allows us to derive the CLT for the quadratic form Q_{n,X} in the linear variables X_{k}. The assumptions are similar to the well-known classical conditions for the validity of the CLT in the i.i.d. case and require the existence of the fourth moment of the Z_{k}, and in some cases only the (2+e)-th moment where e>0 and small. The results have a number of statistical applications.

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Bhansali RJ, Giraitis L, Kokoszka P, Estimation of the long memory parameter by fitting fractionally differenced autoregressive models

We examine the estimation of the memory parameter d of I(d) series, by fitting an auto-regressive AR(k) representation where k approaches infinity simultaneously with the observed series length n. Under some conditions on the growth of k with respect to n, and on the short memory component of the spectral density which admits an infinite autoregressive representation, the estimator is shown to be ?(k/n) consistent and asymptotically normal, where k may be taken to be proportional to log n. The joint asymptotic distribution of the long memory parameter and the estimated autoregressive coefficients (increasing in number) is derived.

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