Edgeworth Expansion for Linear Regression Processes with Long-Memory Errors

DOI10.1080/03610920903447873zbMath1217.62019OpenAlexW2110667414MaRDI QIDQ3007817

Mosisa Aga

Publication date: 17 June 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903447873

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (1)

Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models

Cites Work

• Efficient parameter estimation for self-similar processes
• Time series: theory and methods.
• On large-sample estimation for the mean of a stationary random sequence
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• Approximations for densities of sufficient estimators
• On Multivariate Edgeworth Expansions

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