VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES

研究成果: Article査読

11 被引用数 (Scopus)

抄録

Abstract. In this paper, we discuss the validity of the multivariate Edgeworth expansion of distribution functions of statistics which need not be standardized sums of independent and identically distributed vectors. We apply this result to statistics of time series. In particular, we shall give the asymptotic expansion of the distribution of the maximum likelihood estimator of a parameter of a circular autoregresive moving average process.

本文言語English
ページ(範囲)37-51
ページ数15
ジャーナルJournal of Time Series Analysis
5
1
DOI
出版ステータスPublished - 1984
外部発表はい

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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