English

How the instability of ranks under long memory affects large-sample inference

Statistics Theory 2017-11-03 v2 Statistics Theory

Abstract

Under long memory, the limit theorems for normalized sums of random variables typically involve a positive integer called "Hermite rank". There is a different limit for each Hermite rank. From a statistical point of view, however, we argue that a rank other than one is unstable, whereas, a rank equal to one is stable. We provide empirical evidence supporting this argument. This has important consequences. Assuming a higher-order rank when it is not really there usually results in underestimating the order of the fluctuations of the statistic of interest. We illustrate this through various examples involving the sample variance, the empirical processes and the Whittle estimator.

Keywords

Cite

@article{arxiv.1610.00690,
  title  = {How the instability of ranks under long memory affects large-sample inference},
  author = {Shuyang Bai and Murad S. Taqqu},
  journal= {arXiv preprint arXiv:1610.00690},
  year   = {2017}
}

Comments

31 pages

R2 v1 2026-06-22T16:09:11.279Z