Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process
Year of publication: |
2002-01
|
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Authors: | Lieberman, Offer ; Rousseau, Judith ; Zucker, David M. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Edgeworth expansions | long memory processes | ARFIMA models |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in The Annals of Statistics (2003), 31(2): 586-612 The price is None Number 1351 37 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation |
Source: |
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