Local asymptotic normality for regression models with long-memory disturbance

DOI10.1214/AOS/1017939250MaRDI QIDQ1583901zbMATH OpenOpenAlexWikidataFDO

Authors Marc Hallin, Masanobu Taniguchi, Abdeslam Serroukh, Kokyo Choy

Publication date 20 March 2001

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

Full work available at URL https://doi.org/10.1214/aos/1017939250

zbMATH Keywords

discriminant analysisadaptive estimationlong-memory processlocal asymptotic normalityFARIMA modellocally asymptotically optimal test

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Adaptive estimation in time-series models
• Adaptive estimation of the lag of a long-memory process
• Aligned rank tests for linear models with autocorrelated error terms
• Asymptotic methods in statistical decision theory
• Asymptotic optimal inference for a class of nonlinear time series models
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• Asymptotics in statistics: some basic concepts
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Dependent central limit theorems and invariance principles
• Efficient estimation in nonlinear autoregressive time-series models
• Efficient parameter estimation for self-similar processes
• Empirical Bayes estimation in functional and structural models, and uniformly adaptive estimation of location
• Linear Discriminant Functions for Stationary Time Series
• Local asymptotic normality of multivariate ARMA processes with a linear trend
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• On adaptive estimation in stationary ARMA processes
• On efficient estimation in regression models
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence

Cited in

(20)

• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Preliminary test estimation for spectra
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
• Local asymptotic normality for long-memory process with strong mixing noises
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Likelihood Ratio Processes under Nonstandard Settings
• Adaptive test for periodic ARFIMA models
• Bent-cable regression with autoregressive noise
• Asymptotic theory for regression models with fractional local to unity root errors
• Scalable Monte Carlo inference and rescaled local asymptotic normality
• Modified LASSO estimators for time series regression models with dependent disturbances
• Local asymptotic normality for multivariate nonlinear AR processes
• Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
• Estimating FARIMA models with uncorrelated but non-independent error terms
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
• Asymptotic normality of regression estimators with long memory errors
• Local asymptotic normality for a periodically time varying long memory parameter

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Uses Software

• longmemo

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