Edgeworth expansion for the sample autocorrelation function

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 [Working Paper] (Unpublished)


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.

Impact and interest:

Citation counts are sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

176 since deposited on 10 Apr 2008
2 in the past twelve months

Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 13262
Item Type: Working Paper
Refereed: No
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 00:00
Last Modified: 08 Jul 2014 00:07

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page