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

DOI10.1080/03610926.2014.901366MaRDI QIDQ3178631zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

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

Cited in

(7)

• scientific article; zbMATH DE number 4032786 (Why is no real title available?)
• Non-asymptotic results for Cornish-Fisher expansions
• 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
• scientific article; zbMATH DE number 4052785 (Why is no real title available?)
• Cornish-Fisher expansions using sample cumulants and monotonic transformations
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}

This page was built for publication: The Cornish-Fisher expansion for a class of statistics in first order autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3178631)