Similar Search Results - EconBiz

Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processes

Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric theory 28 (2012) 2, pp. 457-470

Persistent link: https://www.econbiz.de/10009520934

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

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - Cowles Foundation for Research in Economics, Yale University - 2002

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 ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...

Persistent link: https://www.econbiz.de/10005087373

Small-sample likelihood-based inference in the ARFIMA-model

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 1999

Persistent link: https://www.econbiz.de/10001396408

Small-sample likelihood-based inference in the ARFIMA model

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 16 (2000) 2, pp. 231-248

Persistent link: https://www.econbiz.de/10001483371

Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 1999

Persistent link: https://www.econbiz.de/10001355613

Small sample asymptotics for the sample autocorrelation function under long range dependence

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 1999

Persistent link: https://www.econbiz.de/10001391152

Valid Edgeworth expansion for the sample autocorrelation function under long range dependence

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 17 (2001) 1, pp. 257-275

Persistent link: https://www.econbiz.de/10001556120

Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, gaussian, strongly dependent process

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 2002

Persistent link: https://www.econbiz.de/10001640913

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

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 2003

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 ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...

Persistent link: https://www.econbiz.de/10014120925

Strike data with a crisis point

Lieberman, Offer - In: Journal of quantitative economics : official journal of … 14 (1998) 2, pp. 85-96

Persistent link: https://www.econbiz.de/10001444769

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