Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra

DOI10.1111/j.1467-9892.2004.01904.xzbMath1062.62195OpenAlexW3125525428MaRDI QIDQ4677040

Peter C. B. Phillips, Offer Lieberman

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d13/d1374.pdf

zbMATH Keywords

asymptotic expansionsingularityToeplitz matrixlong memoryspectral density

Mathematics Subject Classification ID

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

Related Items (10)

Nonlinearity Induced Weak Instrumentation ⋮ Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ Error bounds for approximations of traces of products of truncated Toeplitz operators ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS ⋮ Expansions for approximate maximum likelihood estimators of the fractional difference parameter ⋮ A note on approximations of traces of products of truncated Toeplitz matrices ⋮ On the trace approximation problem for truncated Toeplitz operators and matrices ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications

Cites Work

• Unnamed Item
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• Asymptotic theory of statistical inference for time series
• Large deviations for quadratic forms of stationary Gaussian processes
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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