A complete asymptotic series for the autocovariance function of a long memory process

Offer Lieberman and Peter Phillips

Journal of Econometrics, 2008, vol. 147, issue 1, 99-103

Abstract: An infinite-order asymptotic expansion is given for the autocovariance function of a general stationary long-memory process with memory parameter d[set membership, variant](-1/2,1/2). The class of spectral densities considered includes as a special case the stationary and invertible ARFIMA(p,d,q) model. The leading term of the expansion is of the order O(1/k1-2d), where k is the autocovariance order, consistent with the well known power law decay for such processes, and is shown to be accurate to an error of O(1/k3-2d). The derivation uses Erdélyi's [Erdélyi, A., 1956. Asymptotic Expansions. Dover Publications, Inc, New York] expansion for Fourier-type integrals when there are critical points at the boundaries of the range of integration - here the frequencies {0,2[pi]}. Numerical evaluations show that the expansion is accurate even for small k in cases where the autocovariance sequence decays monotonically, and in other cases for moderate to large k. The approximations are easy to compute across a variety of parameter values and models.

Keywords: Autocovariance; Asymptotic; expansion; Critical; point; Fourier; integral; Long; memory (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (5)

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Working Paper: A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:147:y:2008:i:1:p:99-103

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