Conference Agenda
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Time Series Econometrics Location: 0.001 Session Chair: Carsten Jentsch | |
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Satterthwaite Approximation and Gaussian Time Series 1: UCLouvain, Belgium; 2: Université Libre de Bruxelles, Belgium Satterthwaite (1941, 1946) proposed a very simple approximation to the distribution of linear combinations of Chi-squared random variables. It can be used in univariate time series analysis to approximate the distribution of the sample variance and the periodogram of Gaussian time series; we provide Wasserstein bounds and rates of convergence of the approximation towards the true distribution. Similarly, Tan & Gupta (1983) proposed an approximation to the distribution of linear combinations of Wishart random matrices. This, however, has not yet been applied to the framework of multivariate time series: we take advantage of a special case of the matrix normal distribution to propose a feasible approximation to the distribution of the sample covariance matrix of Gaussian time series. | |
