EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
From MaRDI portal
Publication:4653557
DOI10.1017/S0266466604203024zbMath1061.62022OpenAlexW2149156640MaRDI QIDQ4653557
Peter C. B. Phillips, Offer Lieberman
Publication date: 7 March 2005
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466604203024
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Unnamed Item ⋮ Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes ⋮ Refined Inference on Long Memory in Realized Volatility ⋮ ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra ⋮ Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes ⋮ Expansions for approximate maximum likelihood estimators of the fractional difference parameter ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes
Cites Work
- Efficient parameter estimation for self-similar processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- 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.
- Approximations for densities of sufficient estimators
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion
- On methods of asymptotic approximation for multivariate distributions
This page was built for publication: EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
