Saddlepoint approximations for short and long memory time series: a frequency domain approach
ContributorsLa Vecchia, Davide ; Ronchetti, Elvezio
Published inJournal of Econometrics, vol. 213, no. 2, p. 578-592
Publication date2019
Abstract
Keywords
- Periodogram
- Tilted edgeworth expansion
- Macroeconomic time series
- Relative error
- Whittle's estimator
Affiliation entities
Citation (ISO format)
LA VECCHIA, Davide, RONCHETTI, Elvezio. Saddlepoint approximations for short and long memory time series: a frequency domain approach. In: Journal of Econometrics, 2019, vol. 213, n° 2, p. 578–592. doi: 10.1016/j.jeconom.2018.10.009
Main files (1)
Article (Published version)
Identifiers
- PID : unige:125551
- DOI : 10.1016/j.jeconom.2018.10.009
Journal ISSN0304-4076