An edgeworth expansion for a sum of M ‐Dependent random variables
Wan Soo Rhee · International Journal of Mathematics and Mathematical Sciences · 1985
Given a sequence X 1 , X 2 , …, X n of m ‐dependent random variables with moments of order 3 + α (0 < α ≦1), we give an Edgeworth expansion of the distribution of S σ −1 ( S = X 1 + X 2 + …+ X n , σ 2 = E S 2 ) under the assumption that E [exp(it S σ 1 )] is small away from the origin. The result is of the best possible order.