Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations

Autor:	Antonis Demos, Stelios Arvanitis
Rok vydání:	2014
Předmět:	Discrete mathematics Economics and Econometrics Class (set theory) Stochastic process Autoregressive conditional heteroskedasticity Estimator Parameterized complexity Applied mathematics Statistical hypothesis testing Mathematics Taylor expansions for the moments of functions of random variables
Zdroj:	Journal of Time Series Econometrics. 6
ISSN:	1941-1928 2194-6507
DOI:	10.1515/jtse-2012-0003
Popis:	This article examines the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. This could be useful for the establishment of high-order asymptotic properties for estimators and test statistics that are potentially based on moments of those vectors. We derive sufficient conditions either in the case of stationary stochastic processes exhibiting weak dependence or in the case of smooth transformations of such expansions.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cb5d2e7fb02f826008fa8654bb5b6399 https://doi.org/10.1515/jtse-2012-0003 Zobrazit plný text záznamu