Abstract
We prove that the distributions of spectral mean estimates from linear processes admit Edgeworth expansions. As a consequence, Edgeworth expansions are valid for Whittle estimates.
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Janas, D. Edgeworth expansions for spectral mean estimates with applications to Whittle estimates. Ann Inst Stat Math 46, 667–682 (1994). https://doi.org/10.1007/BF00773475
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DOI: https://doi.org/10.1007/BF00773475