VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES

DOI10.1111/j.1467-9892.1984.tb00377.xzbMath0554.62077OpenAlexW1963857573MaRDI QIDQ3217481

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)

Related Items

Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes ⋮ Transformations of multivariate Edgeworth type expansions ⋮ Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes ⋮ Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Cites Work

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• Estimation for autoregressive moving average models in the time and frequency domains
• On the validity of the formal Edgeworth expansion
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• An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion