Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process.

We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers many types of ARFIMA models.

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Year of publication:	1999
Authors:	Lieberman, O. ; Rousseau, J. ; Zucker, D.M.
Subject:	ESTIMATOR \| REGRESSION ANALYSIS \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641107