How the instability of ranks under long memory affects large-sample inference
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Publication:667685
DOI10.1214/17-STS633zbMATH Open1407.62274arXiv1610.00690MaRDI QIDQ667685FDOQ667685
Authors: Shuyang Bai, Murad S. Taqqu 
Publication date: 1 March 2019
Published in: Statistical Science (Search for Journal in Brave)
Abstract: Under long memory, the limit theorems for normalized sums of random variables typically involve a positive integer called "Hermite rank". There is a different limit for each Hermite rank. From a statistical point of view, however, we argue that a rank other than one is unstable, whereas, a rank equal to one is stable. We provide empirical evidence supporting this argument. This has important consequences. Assuming a higher-order rank when it is not really there usually results in underestimating the order of the fluctuations of the statistic of interest. We illustrate this through various examples involving the sample variance, the empirical processes and the Whittle estimator.
Full work available at URL: https://arxiv.org/abs/1610.00690
Recommendations
long-range dependencelong memoryinstabilityHermite ranklarge-sample inferencenon-Gaussian limitpower rank
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