Cornish-Fisher expansions for sample autocovariances and other functions of sample moments of linear processes

DOI10.1214/10-BJPS126zbMath1235.62020OpenAlexW2053794311MaRDI QIDQ2427782

Christopher S. Withers, Saralees Nadarajah

Publication date: 18 April 2012

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1327328082

zbMATH Keywords

cumulantslinear processstationary processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes (62M99)

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