In this paper, we discuss the validity of the multivariate Edgeworth expansion of distribution functions of statistics which need not be standardized sums of independent and identically distributed vectors. We apply this result to statistics of time series. In particular, we shall give the asymptotic expansion of the distribution of the maximum likelihood estimator of a parameter of a circular autoregresive moving average process.
No takes yet. Share an insight, caveat, or question.
Masanobu Taniguchi (1984) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: