Second-order behavior of M-estimators in linear regression with long-memory errors

DOI10.1016/S0378-3758(00)00190-7zbMath0967.62040MaRDI QIDQ5928943

Hira L. Koul, Donatas Surgailis

Publication date: 2 September 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) General nonlinear regression (62J02) Functional limit theorems; invariance principles (60F17)

Related Items (11)

An \(M\)-estimator for the long-memory parameter ⋮ Goodness-of-fit tests for long memory moving average marginal density ⋮ Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular ⋮ Empirical process of residuals for regression models with long memory errors ⋮ Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum ⋮ Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors ⋮ ON M‐Estimation Under Long‐Range Dependence in Volatility ⋮ On location estimation for LARCH processes ⋮ \(M\)-estimation of linear models with dependent errors ⋮ On the Strong Consistency of M-Estimates in Linear Models for Negatively Superadditive Dependent Errors ⋮ ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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