On the calculation of cumulants of estimators arising from a linear time series regression model

Bounds for higher-order cumulants of statistics arising from a linear time series regression model are investigated. A result given in Brillinger is proved and extended. The bounds permit derivation of asymptotic moments and asymptotic normality for estimators of parameters in the model. Two examples are given as illustrations.

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Year of publication:	1991
Authors:	Zhang, Hong-Ching ; Shaman, Paul
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 37.1991, 2, p. 135-150
Publisher:	Elsevier
Keywords:	linear time series regression model cumulants discrete Fourier transform asymptotic normality

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

Persistent link: https://www.econbiz.de/10005221424