Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
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Publication:1429318
DOI10.1214/AOS/1051027882zbMATH Open1067.62021OpenAlexW3121167924MaRDI QIDQ1429318FDOQ1429318
Authors: Offer Lieberman, Judith Rousseau, David M. Zucker 
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
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- scientific article; zbMATH DE number 3921782
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)
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Cited In (22)
- Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
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- VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
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