Saddlepoint approximations for short and long memory time series: a frequency domain approach
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Publication:2280588
DOI10.1016/j.jeconom.2018.10.009zbMath1456.62201OpenAlexW2969750319MaRDI QIDQ2280588
Davide La Vecchia, Elvezio Ronchetti
Publication date: 19 December 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.10.009
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Approximations to statistical distributions (nonasymptotic) (62E17)
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