Local asymptotic normality for regression models with long-memory disturbance
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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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Cited in
(24)- Bent-cable regression with autoregressive noise
- Asymptotic normality of regression estimators with long memory errors
- Discriminant analysis for regression models with stationary long-memory disturbances
- Scalable Monte Carlo inference and rescaled local asymptotic normality
- Modified LASSO estimators for time series regression models with dependent disturbances
- Asymptotic theory for regression models with fractional local to unity root errors
- Estimating FARIMA models with uncorrelated but non-independent error terms
- LAN theorem for non-Gaussian locally stationary processes and its applications
- Efficiency improvements in inference on stationary and nonstationary fractional time series
- Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
- Local asymptotic normality for multivariate nonlinear AR processes
- Local asymptotic normality for long-memory process with strong mixing noises
- Local asymptotic normality for a periodically time varying long memory parameter
- Likelihood Ratio Processes under Nonstandard Settings
- Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
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