On the First-Order Edgeworth Expansion for a Markov Chain

We consider the first-order Edgeworth expansion for summands related to a homogeneous Markov chain. Certain inaccuracies in some earlier results by Nagaev are corrected and the expansion is obtained under relaxed conditions. An application of our result to the distribution of the mle of a transition probability in the countable state space case is also considered.

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Year of publication:	1993
Authors:	Datta, S. ; Mccormick, W. P.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 44.1993, 2, p. 345-359
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005221318