Local asymptotic normality for regression models with long-memory disturbance
DOI10.1214/AOS/1017939250zbMATH Open0957.62077OpenAlexW1579201081WikidataQ115374768 ScholiaQ115374768MaRDI QIDQ1583901FDOQ1583901
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
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discriminant analysisadaptive estimationlong-memory processlocal asymptotic normalityFARIMA modellocally asymptotically optimal test
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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Cited In (20)
- LAN theorem for non-Gaussian locally stationary processes and its applications
- Local asymptotic normality for long-memory process with strong mixing noises
- Modified LASSO estimators for time series regression models with dependent disturbances
- Asymptotic normality of regression estimators with long memory errors
- Asymptotic theory for regression models with fractional local to unity root errors
- Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition
- Likelihood Ratio Processes under Nonstandard Settings
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Local asymptotic normality for a periodically time varying long memory parameter
- Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
- Scalable Monte Carlo inference and rescaled local asymptotic normality
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
- Preliminary test estimation for spectra
- Bent-cable regression with autoregressive noise
- Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
- Local asymptotic normality for multivariate nonlinear AR processes
- Efficiency improvements in inference on stationary and nonstationary fractional time series
- Adaptive test for periodic ARFIMA models
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
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