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Edgeworth expansion for the sample autocorrelation function

Cecchinato, Nedda & Wolff, Rodney C. (2008) Edgeworth expansion for the sample autocorrelation function. [Working Paper] (Unpublished)

Abstract

Fractionally integrated process, introduced independently by Granger and Joyeux (1980) and Hosking (1981), exhibit second-order dependence structures of rich variety, and stir much interest by way of their mathematical properties and their applications in modelling real phenomena. Their mathematical complexity oers signicant challenges in deriving estimates of parameters relating to the long memory behaviour, both in parametric and non-parametric models, with the latter having slower convergence properties. Some seminal papers include those by Yajima (1985), Fox and Taqqu (1986), and Dahlhaus (1988, 1989) on parametric estimation, and by Hurst (1951), Geweke and Porter-Hudak (1983), Robinson (1995) and Hurvich et al. (1998). We have in mind to consider the ACF bootstrap (as it is called), based on a result of Ramsey (1974), which generates a surrogate series.

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165 since deposited on 10 Apr 2008
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ID Code: 13262
Item Type: Working Paper
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2008 Nedda Cecchinato and Rodney Wolff
Deposited On: 10 Apr 2008
Last Modified: 08 Jul 2014 10:07

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