VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE

DOI10.1017/S0266466601171094zbMath1179.62029OpenAlexW2034276576MaRDI QIDQ2716442

David M. Zucker, Judith Rousseau, Offer Lieberman

Publication date: 16 May 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601171094

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Transformations of multivariate Edgeworth type expansions ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Edgeworth expansions for semiparametric Whittle estimation of long memory. ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields ⋮ ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes

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