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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
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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
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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
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Small-sample likelihood-based inference in the ARFIMA-model
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 1999
Persistent link: https://www.econbiz.de/10001396408
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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
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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
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SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric Theory 16 (2000) 02, pp. 231-248
Persistent link: https://www.econbiz.de/10005250088
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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
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ARTICLES - 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. 257-276
Persistent link: https://www.econbiz.de/10006980327
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ARTICLES - 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/10006984134