文章基本信息
- 标题：EDGEWORTH APPROXIMATION IN THE AR(1) PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE
- 本地全文：下载
- 作者：Yoshihide Kakizawa
- 期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
- 印刷版ISSN：1882-2754
- 电子版ISSN：1348-6365
- 出版年度：2002
- 卷号：32
- 期号：2
- 页码：209-237
- DOI：10.14490/jjss.32.209
- 出版社：JAPAN STATISTICAL SOCIETY
- 摘要：
This paper shows the validity of the (arbitrary) higher order Edgeworth expansion for the distribution of estimators of the coefficient parameter θ∈(−1, 1) in the AR(1) process {Xt} with a possibly nonzero initial value X0=x. The stationary case of X0∼N(0, 1/(1−θ2)) is also treated.
- 关键词：Edgeworth expansion; Berry-Esseen bound; moderate deviation; AR(1) process.
