Estimation of regression coefficients in case of differentiable error processes

DOI10.1080/02331880500520680zbMath1106.62099OpenAlexW1964943168MaRDI QIDQ3426332

Michael Weba

Publication date: 8 March 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880500520680

zbMATH Keywords

linear stochastic differential equationsintegrated Ornstein-Uhlenbeck processintegrated Wiener processRomberg estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10) Numerical differentiation (65D25) Numerical integration (65D30)

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