Saddlepoint approximations for short and long memory time series: A frequency domain approach

[1]  Ulrich K. Müller,et al.  Low-Frequency Econometrics , 2015 .

[2]  D. Poskitt,et al.  Higher-order improvements of the sieve bootstrap for fractionally integrated processes , 2013, 1311.0096.

[3]  Paul Rilstone,et al.  EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS , 2013, Econometric Theory.

[4]  Relative Errors for Bootstrap Approximations of the Serial Correlation Coefficient , 2013, 1306.1324.

[5]  Young Min Kim,et al.  A frequency domain bootstrap for Whittle estimation under long-range dependence , 2013, J. Multivar. Anal..

[6]  Jan Beran,et al.  Long‐Memory Processes , 2013 .

[7]  Anna Clara Monti,et al.  Jackknifed whittle estimators , 2012 .

[8]  M. Genton,et al.  Functional Boxplots , 2011 .

[9]  Juan Carlos Abril.  Approximations for Densities of Sufficient Estimators , 2011, International Encyclopedia of Statistical Science.

[10]  G. Alastair Young.  ROUTES TO HIGHER-ORDER ACCURACY IN PARAMETRIC INFERENCE , 2009 .

[11]  Anthony C. Davison,et al.  Applied Asymptotics: Case Studies in Small-Sample Statistics , 2007 .

[12]  Yacine Aït-Sahalia,et al.  Saddlepoint Approximations for Continuous-Time Markov Processes ∗ , 2006 .

[13]  L. Gil‐Alana,et al.  NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS , 2005 .

[14]  D. Andrews,et al.  VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES , 2002, Econometric Theory.

[15]  Aman Ullah,et al.  Finite Sample Econometrics , 2004 .

[16]  S. N. Lahiri,et al.  A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence , 2003 .

[17]  P. Robinson.  Time Series with Long Memory , 2003 .

[18]  J. Rousseau,et al.  Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process , 2002 .

[19]  Efstathios Paparoditis,et al.  Frequency Domain Bootstrap for Time Series , 2002 .

[20]  Elvezio Ronchetti,et al.  Saddlepoint approximations and tests based on multivariate M-estimates , 2003 .

[21]  D. Brillinger.  Time series - data analysis and theory , 1981, Classics in applied mathematics.

[22]  SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL , 2000, Econometric Theory.

[23]  Peter C. B. Phillips,et al.  Higher-order approximations for frequency domain time series regression , 1998 .

[24]  C. Heyde.  Quasi-likelihood and its application : a general approach to optimal parameter estimation , 1998 .

[25]  P. Robinson,et al.  Testing of unit root and other nonstationary hypotheses in macroeconomic time series , 1996 .

[26]  R. Dahlhaus,et al.  A frequency domain bootstrap for ratio statistics in time series analysis , 1996 .

[27]  E. Ronchetti,et al.  General Saddlepoint Approximations of Marginal Densities and Tail Probabilities , 1996 .

[28]  On the Approximation of Saddlepoint Expansions in Statistics , 1994, Econometric Theory.

[29]  D. Janas.  Edgeworth expansions for spectral mean estimates with applications to Whittle estimates , 1994 .

[30]  J. Beran.  Fitting long-memory models by generalized linear regression , 1993 .

[31]  C. Heyde.  Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence , 1993 .

[32]  Suojin Wang.  Tail probability approximations in the first-order noncircular autoregression , 1992 .

[33]  Fallaw Sowell.  Modeling long-run behavior with the fractional ARIMA model , 1992 .

[34]  P. Hall.  The Bootstrap and Edgeworth Expansion , 1992 .

[35]  Chris Field,et al.  Small sample confidence intervals , 1990 .

[36]  D. Cox,et al.  Asymptotic techniques for use in statistics , 1989 .

[37]  P. Phillips,et al.  TRENDS VERSUS RANDOM WALKS IN TIME SERIES ANALYSIS , 1988 .

[38]  Rainer Dahlhaus,et al.  Small Sample Effects in Time Series Analysis: A New Asymptotic Theory and a New Estimate , 1988 .

[39]  E. Ronchetti,et al.  General Saddlepoint Approximations with Applications to L Statistics , 1986 .

[40]  M. Rosenblatt.  Stationary sequences and random fields , 1985 .

[41]  Chris Field,et al.  Small Sample Asymptotic Expansions for Multivariate $M$-Estimates , 1982 .

[42]  C. Nelson,et al.  Trends and random walks in macroeconmic time series: Some evidence and implications , 1982 .

[43]  P. Phillips.  Edgeworth and saddlepoint approximations in the first-order noncircular autoregression , 1978 .

[44]  C. Chatfield,et al.  Fourier Analysis of Time Series: An Introduction , 1977, IEEE Transactions on Systems, Man, and Cybernetics.

[45]  P. Bloomfield.  An exponential model for the spectrum of a scalar time series , 1973 .

[46]  H. Daniels.  The approximate distribution of serial correlation coefficients , 1956 .

[47]  H. Daniels.  Saddlepoint Approximations in Statistics , 1954 .

[48]  P. Whittle,et al.  Estimation and information in stationary time series , 1953 .