Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
From MaRDI portal
Publication:1429318
DOI10.1214/aos/1051027882zbMath1067.62021OpenAlexW3121167924MaRDI QIDQ1429318
Offer Lieberman, David M. Zucker, Judith Rousseau
Publication date: 18 May 2004
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1051027882
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)
Related Items (18)
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes ⋮ Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ Edgeworth Expansion for Linear Regression Processes with Long-Memory Errors ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER ⋮ Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra ⋮ ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach ⋮ Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes ⋮ Expansions for approximate maximum likelihood estimators of the fractional difference parameter ⋮ A note on approximations of traces of products of truncated Toeplitz matrices ⋮ VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models ⋮ Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Refinements in asymptotic expansions for sums of weakly dependent random vectors
- Efficient parameter estimation for self-similar processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
- Small sample effects in time series analysis: A new asymptotic theory and a new estimate
- Time series: theory and methods.
- On the validity of the formal Edgeworth expansion
- On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
- Asymptotic distribution of statistics in time series
- Estimation and information in stationary time series
- VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
- Cumulants of a transformed variate
- On the level-error after Bartlett adjustment of the likelihood ratio statistic
- Approximations for densities of sufficient estimators
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators
- SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
- On Multivariate Edgeworth Expansions
- On methods of asymptotic approximation for multivariate distributions
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
