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On the calculation of cumulants of estimators arising from a linear time series regression model

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  • Zhang, Hong-Ching
  • Shaman, Paul

Abstract

Bounds for higher-order cumulants of statistics arising from a linear time series regression model are investigated. A result given in Brillinger is proved and extended. The bounds permit derivation of asymptotic moments and asymptotic normality for estimators of parameters in the model. Two examples are given as illustrations.

Suggested Citation

  • Zhang, Hong-Ching & Shaman, Paul, 1991. "On the calculation of cumulants of estimators arising from a linear time series regression model," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 135-150, May.
    • Handle: RePEc:eee:jmvana:v:37:y:1991:i:2:p:135-150
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    Cited by:

    1. Anh, V.V. & Leonenko, N.N. & Sakhno, L.M., 2007. "Statistical inference using higher-order information," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 706-742, April.

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