The Cornish-Fisher expansion for a class of statistics in first order autoregression

DOI10.1080/03610926.2014.901366zbMath1342.62013OpenAlexW2344757729MaRDI QIDQ3178631

Jorge M. Arevalillo

Publication date: 15 July 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.901366

zbMATH Keywords

quantileEdgeworth expansionCornish-Fisherfirst-order autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Inverting an Edgeworth expansion
• An Edgeworth expansion for U-statistics
• Edgeworth expansions for linear combinations of order statistics with smooth weight functions
• The Edgeworth expansion for U-statistics of degree two
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• The bootstrap and Edgeworth expansion

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