Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

Gilles Faÿ, Eric Moulines and Philippe Soulier

Statistics & Probability Letters, 2004, vol. 66, issue 3, 275-288

Abstract: The validity of the Edgeworth expansion for densities of linear statistics of linear processes is proved. In contrast with previous works on Edgeworth expansions for dependent processes, this result is valid under long-range dependence.

Keywords: Edgeworth; expansions; Linear; statistics; Linear; processes; Long-range; dependence (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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