Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process
We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three main ingredients: (i) veriﬁcation of a suitably modiﬁed version of Durbin’s (1980) general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood derivatives; (ii) appeal to a simple result of Skovgaard (1986) to obtain from this an Edgeworth expansion for the joint distribution of the log-likelihood derivatives; (iii) appeal to and extension of arguments of Bhattacharya and Ghosh (1978) to accomplish the passage from the result on the log-likelihood derivatives to the result for the maximum likelihood estimators. We develop and make extensive use of a uniform version of Dahlhaus’s (1989) Theorem~5.1 on products of Toeplitz matrices; the extension of Dahlhaus’s result is of interest in its own right. A small numerical study of the eﬀicacy of the Edgeworth expansion is presented for the case of fractional Gaussian noise.
Lieberman, Offer; Rousseau, Judith; and Zucker, David M., "Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process" (2002). Cowles Foundation Discussion Papers. 1615.