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February 2010 Edgeworth expansions for studentized statistics under weak dependence
S. N. Lahiri
Ann. Statist. 38(1): 388-434 (February 2010). DOI: 10.1214/09-AOS722


In this paper, we derive valid Edgeworth expansions for studentized versions of a large class of statistics when the data are generated by a strongly mixing process. Under dependence, the asymptotic variance of such a statistic is given by an infinite series of lag-covariances, and therefore, studentizing factors (i.e., estimators of the asymptotic standard error) typically involve an increasing number, say, of lag-covariance estimators, which are themselves quadratic functions of the observations. The unboundedness of the dimension of these quadratic functions makes the derivation and the form of the expansions nonstandard. It is shown that in contrast to the case of the studentized means under independence, the derived Edgeworth expansion is a superposition of three distinct series, respectively, given by one in powers of n−1/2, one in powers of [n/]−1/2 (resulting from the standard error of the studentizing factor) and one in powers of the bias of the studentizing factor, where n denotes the sample size.


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S. N. Lahiri. "Edgeworth expansions for studentized statistics under weak dependence." Ann. Statist. 38 (1) 388 - 434, February 2010.


Published: February 2010
First available in Project Euclid: 31 December 2009

zbMATH: 1181.62013
MathSciNet: MR2589326
Digital Object Identifier: 10.1214/09-AOS722

Primary: 60F05
Secondary: 62E20 , 62M10

Keywords: Cramer’s condition , linear process , M-estimators , smooth function model , spectral density estimator , Strong mixing

Rights: Copyright © 2010 Institute of Mathematical Statistics

Vol.38 • No. 1 • February 2010
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