The Berry–Esseen Bounds for Sample Rescaled Poly-Variograms

Wensheng Wang, Ka-Ho Wu and Kyo-Shin Hwang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 17, 3639-3652

Abstract: In time series analysis, unit-root identification and test have long been recognized as an important problem. Unit-root test based on poly-variogram is one of the very powerful test methods. In this paper, we investigate the Berry–Esseen bounds for sample rescaled poly-variograms. A convergence rate of the order O(n-12)$O(n^{-\frac{1}{2}})$ is obtained.

Date: 2015
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DOI: 10.1080/03610926.2013.781650

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