Edgeworth expansions in Gaussian autoregression

Patrick Marsh ()

Statistics & Probability Letters, 2001, vol. 54, issue 3, 233-241

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.

Date: 2001
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