Local asymptotic normality for regression models with long-memory disturbance (Q1583901): Difference between revisions
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Revision as of 14:39, 19 March 2024
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English | Local asymptotic normality for regression models with long-memory disturbance |
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Local asymptotic normality for regression models with long-memory disturbance (English)
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20 March 2001
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The authors derive asymptotic theory based on a local asymptotic normality (LAN) approach for a regression model with stationary non-Gaussian fractional ARIMA\((p,d,q)\) long-memory errors. It is shown that the log-likelihood ratios have the typical LAN behavior and thus the local experiments converge weakly to a Gaussian shift experiment. The results are applied to testing linear constraints on the parameters, discriminant analysis, construction of locally asymptotically minimax adaptive estimators, and other inference problems. A general formula for the distribution, under contiguous sequences of alternatives, for a class of statistics is established. The results are valid under a very large family of innovation densities.
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long-memory process
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FARIMA model
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local asymptotic normality
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locally asymptotically optimal test
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adaptive estimation
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discriminant analysis
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