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Edgeworth expansions for spectral mean estimates with applications to Whittle estimates

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  • Daniel Janas

Abstract

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Suggested Citation

  • Daniel Janas, 1994. "Edgeworth expansions for spectral mean estimates with applications to Whittle estimates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(4), pages 667-682, December.
    • Handle: RePEc:spr:aistmt:v:46:y:1994:i:4:p:667-682
    DOI: 10.1007/BF00773475
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    Citations

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    Cited by:

    1. Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean," Econometric Theory, Cambridge University Press, vol. 17(3), pages 497-539, June.
    2. La Vecchia, Davide & Ronchetti, Elvezio, 2019. "Saddlepoint approximations for short and long memory time series: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 213(2), pages 578-592.
    3. Daniel Janas & Rainer von Sachs, 1995. "Consistency For Non‐Linear Functions Of The Periodogram Of Tapered Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 585-606, November.
    4. Kun Chen & Ngai Hang Chan & Chun Yip Yau, 2020. "Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(5), pages 1159-1173, October.
    5. Peter M Robinson & Carlos Velasco, 2000. "Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539," STICERD - Econometrics Paper Series 390, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Kakizawa, Yoshihide, 2007. "Moderate deviations for quadratic forms in Gaussian stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 992-1017, May.

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