Edgeworth expansions in Gaussian autoregression
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.
Volume (Year): 54 (2001)
Issue (Month): 3 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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 463-485, March.
- Taniguchi, M. & Watanabe, Y., 1994. "Statistical Analysis of Curved Probability Densities," Journal of Multivariate Analysis, Elsevier, vol. 48(2), pages 228-248, February.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:54:y:2001:i:3:p:233-241. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.