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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

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

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