A consistent estimator for skewness of partial sums of dependent data

DOI10.1016/J.SPL.2020.109021zbMath1461.62159arXiv2005.10973OpenAlexW3111089900MaRDI QIDQ2658002

Masoud M. Nasari, Mohamedou Ould Haye

Publication date: 18 March 2021

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

Full work available at URL: https://arxiv.org/abs/2005.10973

zbMATH Keywords

long memorystationaritylinear processesskewnessshort memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (1)

Confidence intervals with higher accuracy for short and long-memory linear processes

Cites Work

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• Two estimators of the long-run variance: beyond short memory
• Noncentral limit theorems and Appell polynomials
• Limit theorems for functionals of moving averages
• Rescaled variance and related tests for long memory in volatility and levels
• Fractional ARIMA with stable innovations
• The Invariance Principle for Stationary Processes

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