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.
Ann. Statist., Tome 31 (2003) no. 1, p. 586-612 / Harvested from Project Euclid
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 main ingredients: (i) verification of a suitably modified version of Durbin's general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood derivatives; (ii) appeal to a simple result of Skovgaard to obtain from this an Edgeworth expansion for the joint distribution of the log-likelihood derivatives; (iii) appeal to and extension of arguments of Bhattacharya and Ghosh to accomplish the passage from the result on the log-likelihood derivatives to the result for the maximum likelihood estimators. We develop and make extensive use of a uniform version of a theorem of Dahlhaus on products of Toeplitz matrices; the extension of Dahlhaus' result is of interest in its own right. A small numerical study of the efficacy of the Edgeworth expansion is presented for the case of fractional Gaussian noise.
Publié le : 2003-04-14
Classification:  Edgeworth expansions,  long memory processes,  ARFIMA models,  62E17,  62M10
@article{1051027882,
     author = {Lieberman, Offer and Rousseau, Judith and Zucker, David M.},
     title = {Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process},
     journal = {Ann. Statist.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 586-612},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1051027882}
}
Lieberman, Offer; Rousseau, Judith; Zucker, David M. Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. Ann. Statist., Tome 31 (2003) no. 1, pp.  586-612. http://gdmltest.u-ga.fr/item/1051027882/