Normalizing Transformations of Some Statistics of Gaussian ARMA Processes.
Abstract
In this paper, the authors investigate Edgeworth type expansions of certain transformations of some statistics of Gaussian ARMA processes. They also investigated transformations which will make the second order part of the Edgeworth expansions vanish. Some numerical studies are made and they show that the above transformations give better approximations than the usual approximation. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Feb 01, 1986
- Accession Number
- ADA170184
Entities
People
- M. Taniguchi
- Paruchuri R. Krishnaiah
- R. Chao
Organizations
- University of Pittsburgh