Local asymptotic normality for regression models with long-memory disturbance

Marc Hallin, Masanobu Taniguchi, Abdeslam Serroukh, Kokyo Choy

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

The local asymptotic normality property is established for a regression model with fractional ARIMA(p, d, q) errors. This result allows for solving, in an asymptotically optimal way, a variety of inference problems in the long-memory context: hypothesis testing, discriminant analysis, rankbased testing, locally asymptotically minimax and adaptive estimation, etc. The problem of testing linear constraints on the parameters, the discriminant analysis problem, and the construction of locally asymptotically minimax adaptive estimators are treated in some detail.

Original languageEnglish
Pages (from-to)2054-2080
Number of pages27
JournalAnnals of Statistics
Volume27
Issue number6
Publication statusPublished - 1999 Dec
Externally publishedYes

Fingerprint

Local Asymptotic Normality
Long Memory
Regression Model
Disturbance
Discriminant Analysis
Fractional ARIMA
Minimax Estimation
Minimax Estimator
Adaptive Estimator
Adaptive Estimation
Testing
Linear Constraints
Asymptotically Optimal
Hypothesis Testing
Discriminant analysis
Asymptotic normality
Regression model
Minimax
Long memory
Hypothesis testing

Keywords

  • Adaptive estimation
  • Discriminant analysis
  • FARIMA model
  • Local asymptotic normality
  • Locally asymptotically optimal test
  • Long-memory process

ASJC Scopus subject areas

  • Mathematics(all)
  • Statistics and Probability

Cite this

Local asymptotic normality for regression models with long-memory disturbance. / Hallin, Marc; Taniguchi, Masanobu; Serroukh, Abdeslam; Choy, Kokyo.

In: Annals of Statistics, Vol. 27, No. 6, 12.1999, p. 2054-2080.

Research output: Contribution to journalArticle

Hallin, M, Taniguchi, M, Serroukh, A & Choy, K 1999, 'Local asymptotic normality for regression models with long-memory disturbance', Annals of Statistics, vol. 27, no. 6, pp. 2054-2080.
Hallin, Marc ; Taniguchi, Masanobu ; Serroukh, Abdeslam ; Choy, Kokyo. / Local asymptotic normality for regression models with long-memory disturbance. In: Annals of Statistics. 1999 ; Vol. 27, No. 6. pp. 2054-2080.
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