Edgeworth expansions for spectral mean estimates with applications to Whittle estimates

DOI10.1007/BF00773475MaRDI QIDQ1895423zbMATH OpenFDO

Authors Daniel Janas

Publication date 12 November 1995

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00773475

zbMATH Keywords

Cramer's conditiondistributions of spectral mean estimatesEdgeworth expansionslinear processesWhittle estimates

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion
• Asymptotic expansions for sums of weakly dependent random vectors
• Higher order approximations for autocovariances from linear processes with applications
• Higher order asymptotic theory for time series analysis
• scientific article; zbMATH DE number 3885166 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• On the Distribution of Some Statistical Estimates of Spectral Density
• On the validity of the formal Edgeworth expansion
• SPECTRAL ANALYSIS WITH TAPERED DATA

Cited in

(6)

• Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• Moderate deviations for quadratic forms in Gaussian stationary processes
• Asymptotic expansions for sums of block-variables under weak dependence
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA

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