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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