Saddlepoint approximations for short and long memory time series: a frequency domain approach
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Publication:2280588
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- scientific article; zbMATH DE number 3963031 (Why is no real title available?)
- scientific article; zbMATH DE number 4100386 (Why is no real title available?)
- scientific article; zbMATH DE number 1944039 (Why is no real title available?)
- scientific article; zbMATH DE number 2174795 (Why is no real title available?)
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Cited in
(5)- Saddlepoint Approximations for Spatial Panel Data Models
- Saddlepoint approximation methods for testing of serial correlation in panel time series data
- Saddlepoint approximations for the estimator on a lagged dependent variable
- On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
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