The Cornish-Fisher expansion for a class of statistics in first order autoregression

DOI10.1080/03610926.2014.901366zbMATH Open1342.62013OpenAlexW2344757729MaRDI QIDQ3178631FDOQ3178631

Authors: Jorge M. Arevalillo 

Publication date: 15 July 2016

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.901366

Recommendations

• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
• Cornish-Fisher expansions for sample autocovariances and other functions of sample moments of linear processes
• Generalized Cornish-Fisher expansions
• Cornish-Fisher expansions using sample cumulants and monotonic transformations
• Non-asymptotic results for Cornish-Fisher expansions

zbMATH Keywords

quantileEdgeworth expansionCornish-Fisherfirst-order autoregression

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• The bootstrap and Edgeworth expansion
• Asymptotic theory of statistics and probability
• An Edgeworth expansion for U-statistics
• The Edgeworth expansion for U-statistics of degree two
• Inverting an Edgeworth expansion
• Edgeworth expansions for linear combinations of order statistics with smooth weight functions
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS

Cited In (7)

• Cornish-Fisher expansions using sample cumulants and monotonic transformations
• Title not available (Why is that?)
• Cornish-Fisher expansions for sample autocovariances and other functions of sample moments of linear processes
• Non-asymptotic results for Cornish-Fisher expansions
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
• Title not available (Why is that?)
• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression

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