The Annals of Probability, Vol. 2, No. 2 (Apr., 1974), pp. 328-332 (5 pages) Let $r(j)$ denote the $j$th autocorrelation based on a sample of $N$ consecutive ...
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 ...
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