Edgeworth expansions in Gaussian autoregression

DOI10.1016/S0167-7152(00)00209-1zbMath0988.62009MaRDI QIDQ5953975

Patrick Marsh

Publication date: 27 June 2002

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

zbMATH Keywords

Edgeworth expansionsGaussian autoregression

Mathematics Subject Classification ID

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

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Cites Work

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• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• Valid Edgeworth Expansions of Some Estimators and Bootstrap Confidence Intervals in First‐order Autoregression
• The bootstrap and Edgeworth expansion

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