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Edgeworth Expansions for Spectral Mean Estimates with Applications to Whittle Estimates

Janas, Daniel

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We prove that the distributions of spectral mean estimates fromlinear processes admit Edgeworth expansions. As a consequence, Edgeworthexpansions are valid for Whittle estimates.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 20 Jun 2016 08:43
Date: July 1993
Number of Pages: 22
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Uncontrolled Keywords: Cramér's condition; Edgeworth expansion; linear process; spectral mean estimates; Whittle estimates
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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