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Edgeworth expansions in Gaussian autoregression. (English) Zbl 0988.62009

Summary: We consider the construction of valid Edgeworth expansions for statistics arising in the context of Gaussian autoregression. By exploiting the properties of exponential families (to which these models belong), validity, of any order is routinely established for a wide class of statistics.

MSC:

62E20 Asymptotic distribution theory in statistics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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