Title: Higher Order Asymptotic Theory for Stochastic Processes
Abstract: We have already seen that various typical estimators and tests have the same limiting behavior. Thus it is required to illuminate their distinction. In this chapter, using higher order approximations (Edgeworth expansions) of the distribution of estimators and tests we discuss their higher order asymptotic optimality.
Publication Year: 2000
Publication Date: 2000-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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