On estimation of a regression model with long-memory stationary errors
Publication:1113248
DOI10.1214/AOS/1176350837zbMath0661.62090OpenAlexW1998391885MaRDI QIDQ1113248
Publication date: 1988
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176350837
asymptotic efficiencycentral limit theoremleast-squares estimatorspectral densitybest linear unbiased estimatorBLUEabsolutely continuous spectrumstrong consistencyergodicresidualscorrelation structurelong-memory stationary errorsasymptotic correlation matrixinnovation variancemartingale difference conditionspolynomial case
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05)
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