Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
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- scientific article; zbMATH DE number 3921782
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators
- Approximations for densities of sufficient estimators
- Asymptotic distribution of statistics in time series
- Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- Cumulants of a transformed variate
- Efficient parameter estimation for self-similar processes
- Estimation and information in stationary time series
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On Multivariate Edgeworth Expansions
- On methods of asymptotic approximation for multivariate distributions
- On the level-error after Bartlett adjustment of the likelihood ratio statistic
- On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
- On the validity of the formal Edgeworth expansion
- Refinements in asymptotic expansions for sums of weakly dependent random vectors
- SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
- Small sample effects in time series analysis: A new asymptotic theory and a new estimate
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- Time series: theory and methods.
- VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
Cited in
(22)- Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
- Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Fixed-domain asymptotics of the maximum likelihood estimator and the Gaussian process approach for deterministic models
- Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
- Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations
- Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
- VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- A note on approximations of traces of products of truncated Toeplitz matrices
- Edgeworth expansions in Gaussian autoregression
- ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Expansions for approximate maximum likelihood estimators of the fractional difference parameter
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
- Edgeworth expansion for linear regression processes with long-memory errors
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
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