An edgeworth expansion for a sum of M -Dependent random variables

Wan Soo Rhee

International Journal of Mathematics and Mathematical Sciences, 1985, vol. 8, 1-7

Abstract:

Given a sequence X 1 , X 2 , … , X n of m -dependent random variables with moments of order 3 + α ( 0 < α ≦ 1 ) , we give an Edgeworth expansion of the distribution of S σ − 1 ( S = X 1 + X 2 + … + X n , σ 2 = E S 2 ) under the assumption that E [ exp ( it S σ 1 ) ] is small away from the origin. The result is of the best possible order.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:870574

DOI: 10.1155/S0161171285000618

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