Higher order approximations for autocovariances from linear processes with applications

Bose, Arup (1988) Higher order approximations for autocovariances from linear processes with applications Statistics: A Journal of Theoretical and Applied Statistics, 19 (2). pp. 259-269. ISSN 0233-1888

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Related URL: http://dx.doi.org/10.1080/02331888808802096

Abstract

We prove that the distribution of autocovariances from appropriate linear processes admit Edgeworth type expansions. As a result, Edgeworth expansions are valid for moment estiamtes in moving average processes and l.s.e. in autoregressive processes. berry-Esseen bounds in all these situations is an incidental fall out.

Item Type:Article
Source:Copyright of this article belongs to Taylor & Francis Ltd.
Keywords:Linear; Moving Average and Autoregressive Processes; Edgeworth Expansion; Cramer's Condition
ID Code:5593
Deposited On:19 Oct 2010 11:49
Last Modified:19 Oct 2010 11:49

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