Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

The validity of the Edgeworth expansion for densities of linear statistics of linear processes is proved. In contrast with previous works on Edgeworth expansions for dependent processes, this result is valid under long-range dependence.

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Year of publication:	2004
Authors:	Faÿ, Gilles ; Moulines, Eric ; Soulier, Philippe
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 66.2004, 3, p. 275-288
Publisher:	Elsevier
Keywords:	Edgeworth expansions Linear statistics Linear processes Long-range dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319611