VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES

DOI10.1017/S0266466605050383zbMath1083.62080OpenAlexW3126037002MaRDI QIDQ3377450

Donald W. K. Andrews, Offer Lieberman

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466605050383

zbMATH Keywords

cumulant boundsWhittle log-likelihood derivatives

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Fractional differencing
• Asymptotic expansions for sums of weakly dependent random vectors
• Fractional Brownian Motions, Fractional Noises and Applications

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