Higher order approximations for autocovariances from linear processes with applications

DOI10.1080/02331888808802096zbMath0641.62055OpenAlexW1988632983MaRDI QIDQ3782624

Arup Bose

Publication date: 1988

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888808802096

zbMATH Keywords

linear processesautoregressive processesBerry-Esseen boundsmoment estimatesCramer's conditionmoving average processesEdgeworth type expansionsdistribution of autocovariances

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Speed of convergence of the least-squares estimator in autoregressive models ⋮ Edgeworth expansions for spectral mean estimates with applications to Whittle estimates ⋮ Bootstrap in moving average models ⋮ Regression with autoregressive errors-some asymptotic results

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