Weighted least squares estimates in linear regression models for processes with uncorrelated increments (Q1374641): Difference between revisions
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Latest revision as of 10:02, 29 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weighted least squares estimates in linear regression models for processes with uncorrelated increments |
scientific article |
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Weighted least squares estimates in linear regression models for processes with uncorrelated increments (English)
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10 December 1997
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The authors consider the multiple linear regression models with nonrandom regressors and with error processes having orthogonal increments. Based on the sample path(s) of such process(es) the weighted least-squares estimates of regression parameters and the variance parameter are obtained. Small and large sample properties of the proposed estimators are derived.
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continuous-time multiple linear regression
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stochastic processes with orthogonal increments
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Gauss-Markov theorem
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