EDGEWORTH APPROXIMATION IN THE AR(1) PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE

DOI10.14490/JJSS.32.209zbMath1044.62019OpenAlexW2041459951MaRDI QIDQ4787569

Yoshihide Kakizawa

Publication date: 7 January 2003

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.32.209

zbMATH Keywords

moderate deviationEdgeworth expansionBerry-Esseen boundAR(1) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process

This page was built for publication: EDGEWORTH APPROXIMATION IN THE AR(1) PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE