VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES

DOI10.1111/J.1467-9892.1984.TB00377.XMaRDI QIDQ3217481zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi

Publication date 1984

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00377.x

zbMATH Keywords

characteristic functionEdgeworth expansionmaximum likelihood estimatecircular autoregressive moving average process

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Asymptotic distribution of statistics in time series
• Edgeworth expansions in Gaussian autoregression
• scientific article; zbMATH DE number 4020197
• On the validity of the formal Edgeworth expansion
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

Cites work

• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Econometric Estimators and the Edgeworth Approximation
• Estimation for autoregressive moving average models in the time and frequency domains
• On the validity of the formal Edgeworth expansion

Cited in

(8)

• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Edgeworth expansions in Gaussian autoregression
• A Theorem of Validity for Edgeworth Expansions
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• Transformations of multivariate Edgeworth type expansions
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

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