On the calculation of cumulants of estimators arising from a linear time series regression model

Hong-Ching Zhang and Paul Shaman

Journal of Multivariate Analysis, 1991, vol. 37, issue 2, 135-150

Abstract: Bounds for higher-order cumulants of statistics arising from a linear time series regression model are investigated. A result given in Brillinger is proved and extended. The bounds permit derivation of asymptotic moments and asymptotic normality for estimators of parameters in the model. Two examples are given as illustrations.

Keywords: linear; time; series; regression; model; cumulants; discrete; Fourier; transform; asymptotic; normality (search for similar items in EconPapers)
Date: 1991
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