Edgeworth expansions for Studentized statistics under weak dependence

DOI10.1214/09-AOS722zbMATH Open1181.62013arXiv1001.1858MaRDI QIDQ847642FDOQ847642

Authors: Soumendra N. Lahiri 

Publication date: 19 February 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, we derive valid Edgeworth expansions for studentized versions of a large class of statistics when the data are generated by a strongly mixing process. Under dependence, the asymptotic variance of such a statistic is given by an infinite series of lag-covariances, and therefore, studentizing factors (i.e., estimators of the asymptotic standard error) typically involve an increasing number, say, $ell$ of lag-covariance estimators, which are themselves quadratic functions of the observations. The unboundedness of the dimension $ell$ of these quadratic functions makes the derivation and the form of the expansions nonstandard. It is shown that in contrast to the case of the studentized means under independence, the derived Edgeworth expansion is a superposition of three distinct series, respectively, given by one in powers of $n^{-1/2}$, one in powers of $[n/ell{]}^{-1/2}$ (resulting from the standard error of the studentizing factor) and one in powers of the bias of the studentizing factor, where $n$ denotes the sample size.

Full work available at URL: https://arxiv.org/abs/1001.1858

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zbMATH Keywords

strong mixingM-estimatorslinear processCramer's conditionsmooth function modelspectral density estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cited In (11)

• Testing poissonity of a large number of populations
• Asymptotic expansions for statistics computed from spatial data
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• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• On the dependency for asymptotically independent estimates
• Asymptotic expansions for sums of block-variables under weak dependence
• Almost sure hypothesis testing and a resolution of the Jeffreys-Lindley paradox
• Edgeworth expansions for studentized and prepivoted sample quantiles
• Evaluating the accuracy of small \(p\)-values in genetic association studies using Edgeworth expansions
• Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series

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