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Asymptotic expansions for time series statistics

Published online by Cambridge University Press:  14 July 2016

Katsuto Tanaka
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Abstract

Asymptotic expansions for the distributions of estimators and test statistics are derived in connection with time series models. The expansions relate to marginal and joint distributions together with the percentiles of marginal distributions. We also consider transforming a statistic so that the transformed statistic has a distribution that coincides with its asymptotic distribution up to a higher order.

Keywords

TEST STATISTICSTIME SERIES MODELMAXIMUM LIKELIHOOD ESTIMATOR
Type
Part 3—Hypothesis Testing and Distribution Theory for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 211 - 227
Copyright
Copyright © 1986 Applied Probability Trust 

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References

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