TY - JOUR
T1 - VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
AU - Taniguchi, Masanobu
PY - 1984
Y1 - 1984
N2 - 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.
AB - 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.
KW - circular autoregressive moving average process
KW - Edgeworth expansion
KW - maximum likelihood estimator
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U2 - 10.1111/j.1467-9892.1984.tb00377.x
DO - 10.1111/j.1467-9892.1984.tb00377.x
M3 - Article
AN - SCOPUS:84986783446
SN - 0143-9782
VL - 5
SP - 37
EP - 51
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
IS - 1
ER -