Abstract
We give Cornish–Fisher expansions for general smooth functions of the sample cross-moments of a stationary linear process. Examples include the distributions of the sample mean, the sample autocovariance and the sample autocorrelation.
Citation
Christopher S. Withers. Saralees Nadarajah. "Cornish–Fisher expansions for sample autocovariances and other functions of sample moments of linear processes." Braz. J. Probab. Stat. 26 (2) 149 - 166, May 2012. https://doi.org/10.1214/10-BJPS126
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