Local asymptotic normality for regression models with long-memory disturbance

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.