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Distribution of sample mean when observations are correlated
Authors:Mukhter M Ali
Affiliation:Department of Economics , University of Kentucky , Lexington , KY , 40506-0034
Abstract:It i s well known that even if the sample observations are correlated and not normal, the sample mean is normal in 1arge samples. But how large is large? This question i s investigated in this paper. In particular , the relation between the rate of convergence and the correlation property of the observations i s explored. It i s observed that the correlation, in general, retards the rate of convergence.
Keywords:rates of convergence  autoregressive-moving-average process  Cornish-Fisher expansion
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