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

Abstract

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 ≤ 4 3 > p \leq 4 moments, where a similar transition occurs. Corresponding results also hold for the Wasserstein metric W 1 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 L^p and W 1 W_1 . As another application, we show that a large class of high dimensional linear statistics admits 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.