Edgeworth expansions for semiparametric Whittle estimation of long memory
Giraitis, L. ; Robinson, P.M.
Ann. Statist., Tome 31 (2003) no. 1, p. 1325-1375 / Harvested from Project Euclid
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate and the original untapered one. For the tapered estimate, our higher-order correction involves two terms, one of order $m^{-1/2}$ (where m is the bandwidth number in the estimation), the other a bias term, which increases in m; depending on the relative magnitude of the terms, one or the other may dominate, or they may balance. For the untapered estimate we obtain an expansion in which, for m increasing fast enough, the correction consists only of a bias term. We discuss applications of our expansions to improved statistical inference and bandwidth choice. We assume Gaussianity, but in other respects our assumptions seem mild.
Publié le : 2003-08-14
Classification:  Edgeworth expansion,  long memory,  semiparametric approximation,  62G20,  62M10
@article{1059655915,
     author = {Giraitis, L. and Robinson, P.M.},
     title = {Edgeworth expansions for semiparametric Whittle estimation of long memory},
     journal = {Ann. Statist.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 1325-1375},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1059655915}
}
Giraitis, L.; Robinson, P.M. Edgeworth expansions for semiparametric Whittle estimation of long memory. Ann. Statist., Tome 31 (2003) no. 1, pp.  1325-1375. http://gdmltest.u-ga.fr/item/1059655915/