Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion

DOI10.1080/03610926.2021.1980044arXiv2012.08966OpenAlexW3205704647MaRDI QIDQ6107548

Ciprian A. Tudor, Soledad Torres, Tania Roa

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.08966

zbMATH Keywords

asymptotic normalityleast squares estimatorregression modelrandom times

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Fuzziness, and linear inference and regression (62J86)

Related Items (1)

On the Consistency of Least Squares Estimator in Models Sampled at Random Times Driven by Long Memory Noise: The Jittered Case

Cites Work

• Second-order asymptotic expansion for a non-synchronous covariation estimator
• Random sampling in estimation problems for continuous Gaussian processes with independent increments
• Finite sample performance of density estimators from unequally spaced data
• Stochastic calculus for fractional Brownian motion and related processes.
• A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times
• Maximum-likelihood estimators and random walks in long memory models
• Statistical Inference for Fractional Diffusion Processes
• ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE

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