Edgeworth Expansion for the Whittle Maximum Likelihood Estimator of Linear Regression Processes with Long Memory Residuals
نویسندگان
چکیده
منابع مشابه
Edgeworth expansions for semiparametric Whittle estimation of long memory
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a re ned, Edgeworth, approximation, for both a tapered estimate, and the ori...
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ژورنال
عنوان ژورنال: International Journal of Statistics and Probability
سال: 2021
ISSN: 1927-7040,1927-7032
DOI: 10.5539/ijsp.v10n4p119