The Distribution and Quantiles of the Sample Mean from a Stationary Process
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Edgeworth–Cornish–Fisher expansions are hugely important, as they give the distribution, density and quantiles of any standard estimate. Here we show that the sample mean of a univariate or multivariate stationary process is a standard estimate, so that all the known results for standard estimates can be applied. We also show how to allow for missing data and weighted means.