A consistent estimator for skewness of partial sums of dependent data

DOI10.1016/J.SPL.2020.109021MaRDI QIDQ2658002zbMATH OpenOpenAlexFDO

Authors Masoud M. Nasari, M. Ould Haye

Publication date 18 March 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.10973

zbMATH Keywords

linear processeslong memoryshort memoryskewnessstationarity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We introduce an estimation method for the scaled skewness coefficient of the sample mean of short and long memory linear processes. This method can be extended to estimate higher moments such as curtosis coefficient of the sample mean. Also a general result on computing all asymptotic moments of partial sums is obtained, allowing in particular a much easier derivation of some existing central limit theorems for linear processes. The introduced skewness estimator provides a tool to empirically examine the error of the central limit theorem for long and short memory linear processes. We also show that, for both short and long memory linear processes, the skewness coefficient of the sample mean converges to zero at the same rate as in the i.i.d. case.

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Cites work

• Fractional ARIMA with stable innovations
• Large sample inference for long memory processes
• Limit theorems for functionals of moving averages
• Noncentral limit theorems and Appell polynomials
• Rescaled variance and related tests for long memory in volatility and levels
• The Invariance Principle for Stationary Processes
• Two estimators of the long-run variance: beyond short memory

Cited in

(3)

• Confidence intervals with higher accuracy for short and long-memory linear processes
• On estimating the cumulant generating function of linear processes
• Behaviour of skewness, kurtosis and normality tests in long memory data

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