Abstract
The validity of the Edgeworth expansion for densities of linear statistics of linear processes is proved. In contrast with previous works on Edgeworth expansions for dependent processes, this result is valid under long-range dependence.
| Original language | English |
|---|---|
| Pages (from-to) | 275-288 |
| Number of pages | 14 |
| Journal | Statistics and Probability Letters |
| Volume | 66 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 15 Feb 2004 |
Keywords
- Edgeworth expansions
- Linear processes
- Linear statistics
- Long-range dependence
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