EDGEWORTH APPROXIMATION IN THE AR(1)PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE

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概要

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• 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 {X_t} with a possibly nonzero initial value X_0 = x. The stationary case of X_0〜N(0, 1/(1 - θ^2)) is also treated.

• 一般社団法人日本統計学会の論文

著者

• Kakizawa Yoshihide

  Faculty Of Economics Hokkaido University

• Kakizawa Yoshihide

  Faculty of Economics, Hokkaido University

関連論文

• EDGEWORTH APPROXIMATION IN THE AR(1)PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE
• HIGHER ORDER ASYMPTOTIC THEORY FOR DISCRIMINANT ANALYSIS IN GAUSSIAN STATIONARY PROCESSES
• A TEST OF EQUALITY OF MEAN VECTORS OF SEVERAL HETEROSCEDASTIC MULTIVARIATE POPULATIONS

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