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

Authors 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

zbMATH Keywords

weak dependenceGARCH modelmoment approximationssmooth transformationsformal Edgeworth distributionGMM estimatorsindirect estimatorslocally uniform Edgeworth expansion

Mathematics Subject Classification ID

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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• Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations

Cited in

(5)

• Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes
• Edgeworth expansions for weakly dependent random variables
• Simulation-based bias correction methods for complex models

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