VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE
证明了平稳高斯长记忆过程样本自相关联合分布的Edgeworth展开的有效性，并通过模拟验证其准确性，对时间序列分析研究者有参考价值。
We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary Gaussian long memory process. The method of proof relies on a verification of the suitably modified conditions for the validity of a multivariate Edgeworth expansion of Durbin (1980, Biometrika 67, 311–333). A simulation study proves the expansion to be useful and accurate.