VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
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Cites work
- Approximations for densities of sufficient estimators
- Asymptotic distribution of statistics in time series
- Asymptotic expansions for sums of weakly dependent random vectors
- 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
- Efficient parameter estimation for self-similar processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- scientific article; zbMATH DE number 4020283 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Log-periodogram regression of time series with long range dependence
- On the validity of the formal Edgeworth expansion
- Refinements in asymptotic expansions for sums of weakly dependent random vectors
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
Cited in
(16)- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Edgeworth expansion for linear regression processes with long-memory errors
- Expansions for approximate maximum likelihood estimators of the fractional difference parameter
- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
- Fisher information for fractional Brownian motion under high-frequency discrete sampling
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- On the use of the cumulant generating function for inference on time series
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