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VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE

Published online by Cambridge University Press:  07 February 2001

Offer Lieberman ,
Judith Rousseau  and
David M. Zucker
Offer Lieberman
Affiliation:
Technion—Israel Institute of Technology
Judith Rousseau
Affiliation:
University of Paris 5 and CREST-ENSAE
David M. Zucker
Affiliation:
Hebrew University of Jerusalem
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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.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 1 , February 2001 , pp. 257 - 275
Copyright
© 2001 Cambridge University Press

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