In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigate transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation.
|ジャーナル||Annals of the Institute of Statistical Mathematics|
|出版ステータス||Published - 1989 3月|
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