This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_{0} are included. The results establish that the bootstrap...

In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter theta in Theta subset R^{d_theta) . The error of the (s-2)-order expansion is shown to be...