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arXiv 2007.05717math.PR
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平稳过程的Berry-Esseen特征与Edgeworth展开之间的紧密联系

Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes

Moritz Jirak, Wei Biao Wu, Ou Zhao

摘要:

对于弱相依的平稳过程,利用Berry-Esseen特征描述了Berry-Esseen界到二阶Edgeworth展开的过渡.这个特征是尖锐的:我们证明了埃奇沃思展开是有效的,当且仅当贝里-埃辛特征是一定的幅度。如果不是这种情况,我们仍然得到一个最优的Berry-Esseen界,从而描述了确切的过渡。我们还获得(分数)扩展$3 < p \leq 4$时刻,发生类似的过渡。相应的结果也适用于Wasserstein度量$W_1$,其中一个相关的,集成的特性被证明是最佳的。作为应用,我们在$L^p$和$W_1$中建立了新的弱Edgeworth展开和CLT.作为另一个应用,我们证明了一个大类的高维线性统计允许Edgeworth展开没有任何光滑性约束,也就是说,没有非格条件或相关的是必要的。在所有的结果中,必要的弱相关假设是非常温和的。特别是,我们表明,许多突出的动力系统和模型,从时间序列分析在我们的框架内,在这些领域产生了许多新的结果。

英文摘要:

Given a weakly dependent stationary process, we describe the transition between a Berry-Esseen bound and a second order Edgeworth expansion in terms of the Berry-Esseen characteristic. This characteristic is sharp: We show that Edgeworth expansions are valid if and only if the Berry-Esseen characteristic is of a certain magnitude. If this is not the case, we still get an optimal Berry-Esseen bound, thus describing the exact transition. We also obtain (fractional) expansions given $3 < p \leq 4$ moments, where a similar transition occurs. Corresponding results also hold for the Wasserstein metric $W_1$, where a related, integrated characteristic turns out to be optimal. As an application, we establish novel weak Edgeworth expansion and CLTs in $L^p$ and $W_1$. As another application, we show that a large class of high dimensional linear statistics admit Edgeworth expansions without any smoothness constraints, that is, no non-lattice condition or related is necessary. In all results, the necessary weak-dependence assumptions are very mild. In particular, we show that many prominent dynamical systems and models from time series analysis are within our framework, giving rise to many new results in these areas.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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