Edgeworth correction by bootstrap in autoregressions
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Publication:1107918
DOI10.1214/aos/1176351063zbMath0653.62016MaRDI QIDQ1107918
Publication date: 1988
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176351063
bootstrap; least-squares method; Edgeworth expansions; Cramér condition; normal approximation error; autoregressions; distribution of least-squares estimates
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
60G10: Stationary stochastic processes
60F99: Limit theorems in probability theory
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