Edgeworth expansions for Studentized statistics under weak dependence

DOI10.1214/09-AOS722MaRDI QIDQ847642zbMATH OpenFDO

Publication date 19 February 2010

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

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

strong mixing M-estimators linear process Cramer's condition smooth function model spectral density estimator

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

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,

e l l

of lag-covariance estimators, which are themselves quadratic functions of the observations. The unboundedness of the dimension

e l l

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 / e l l]^{- 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.

Recommendations

Cites work

Cited in

(11)

This page was built for publication: Edgeworth expansions for Studentized statistics under weak dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847642)