Edgeworth expansions in Gaussian autoregression

DOI10.1016/S0167-7152(00)00209-1MaRDI QIDQ5953975zbMATH OpenFDO

Authors Patrick Marsh

Publication date 27 June 2002

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

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00209-1

zbMATH Keywords

Edgeworth expansionsGaussian autoregression

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
• Approximations for densities of sufficient estimators
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Edgeworth correction by bootstrap in autoregressions
• Effects of transformations in higher order asymptotic expansions
• Higher order asymptotic theory for time series analysis
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• scientific article; zbMATH DE number 777603 (Why is no real title available?)
• On the validity of the formal Edgeworth expansion
• Statistical analysis of curved probability densities
• The bootstrap and Edgeworth expansion
• Valid Edgeworth Expansions of Some Estimators and Bootstrap Confidence Intervals in First‐order Autoregression

Cited in

(6)

• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
• VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
• A Theorem of Validity for Edgeworth Expansions
• TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Normalizing transformations of some statistics of Gaussian ARMA processes

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