Valid edgeworth expansion for the sample autocorrelation function under long range dependence

Offer Lieberman*, Judith Rousseau, David M. Zucker

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary Gaussian long memory process. The method of proof relies on a verification of the suitably modified conditions for the validity of a multivariate Edgeworth expansion of Durbin (1980, Biometrika 67, 311-333). A simulation study proves the expansion to be useful and accurate.

Original languageEnglish
Pages (from-to)257-275
Number of pages19
JournalEconometric Theory
Volume17
Issue number1
DOIs
StatePublished - 2001

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