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Bose, Arup

Higher order approximations for autocovariances from linear processes with applications. (English) Zbl 0641.62055

Statistics 19, No. 2, 259-269 (1988).
Summary: We prove that the distribution of autocovariances from appropriate linear processes admit Edgeworth type expansions. As a result, Edgeworth expansions are valid for moment estimates in moving average processes and l.s.e. in autoregressive processes. Berry-Esseen bounds in all these situations is an incidental fall out.

Cited in 4 Documents

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F12 Asymptotic properties of parametric estimators
62E20 Asymptotic distribution theory in statistics

Keywords:

Cramer’s condition; distribution of autocovariances; linear processes; Edgeworth type expansions; moment estimates; moving average processes; autoregressive processes; Berry-Esseen bounds
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References:

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This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.