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Edgeworth expansions in Gaussian autoregression

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  • Marsh, Patrick
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    Abstract

    We consider the construction of valid Edgeworth expansions for statistics arising in the context of Gaussian autoregression. By exploiting the properties of exponential families (to which these models belong), validity, of any order, is routinely established for a wide class of statistics.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 54 (2001)
    Issue (Month): 3 (October)
    Pages: 233-241

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    Handle: RePEc:eee:stapro:v:54:y:2001:i:3:p:233-241

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    1. Taniguchi, M. & Watanabe, Y., 1994. "Statistical Analysis of Curved Probability Densities," Journal of Multivariate Analysis, Elsevier, vol. 48(2), pages 228-248, February.
    2. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-85, March.
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