Edgeworth expansions for semiparametric Whittle estimation of long memory.

DOI10.1214/aos/1059655915zbMath1041.62012OpenAlexW2298370424MaRDI QIDQ1434016

Liudas Giraitis, Peter M. Robinson

Publication date: 1 July 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1059655915

zbMATH Keywords

bias correctionempirical expansions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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