Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes.

DOI10.1016/j.spl.2003.09.009zbMath1102.62093OpenAlexW1514568499MaRDI QIDQ1427715

Gilles Faÿ, Eric Moulines, Philippe Soulier

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.09.009

zbMATH Keywords

Edgeworth expansionsLong-range dependenceLinear processesLinear statistics

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
• Asymptotic distribution of statistics in time series
• Asymptotic expansions for sums of weakly dependent random vectors
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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