Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
DOI10.1515/JTSE-2012-0003zbMATH Open1418.62055OpenAlexW2256141835MaRDI QIDQ1695656FDOQ1695656
Stelios Arvanitis, Antonis Demos
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2012-0003
Recommendations
weak dependenceGARCH modelmoment approximationssmooth transformationsformal Edgeworth distributionGMM estimatorsindirect estimatorslocally uniform Edgeworth expansion
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
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Cited In (3)
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