Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

Gilles Faÿ; Eric Moulines; Philippe Soulier

doi:10.1016/j.spl.2003.09.009

Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

Gilles Faÿ
, Eric Moulines
, Philippe Soulier

Université de Lille
Université d'Evry Val d'Essonne

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

7 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	275-288
Nombre de pages	14
journal	Statistics and Probability Letters
Volume	66
Numéro de publication	3
Les DOIs	https://doi.org/10.1016/j.spl.2003.09.009
état	Publié - 15 févr. 2004

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10.1016/j.spl.2003.09.009

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title = "Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes",

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.",

keywords = "Edgeworth expansions, Linear processes, Linear statistics, Long-range dependence",

author = "Gilles Fa{\"y} and Eric Moulines and Philippe Soulier",

year = "2004",

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doi = "10.1016/j.spl.2003.09.009",

language = "English",

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journal = "Statistics and Probability Letters",

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T1 - Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

AU - Faÿ, Gilles

AU - Moulines, Eric

AU - Soulier, Philippe

PY - 2004/2/15

Y1 - 2004/2/15

N2 - 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.

AB - 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.

KW - Edgeworth expansions

KW - Linear processes

KW - Linear statistics

KW - Long-range dependence

U2 - 10.1016/j.spl.2003.09.009

DO - 10.1016/j.spl.2003.09.009

M3 - Article

AN - SCOPUS:0742271633

SN - 0167-7152

VL - 66

SP - 275

EP - 288

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes

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