Estimation of regression coefficients in case of differentiable error processes

DOI10.1080/02331880500520680MaRDI QIDQ3426332zbMATH OpenOpenAlexFDO

Authors 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

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

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Cited in

(3)

• On the estimation of the regression coefficients of a continuous parameter process with stationary residual
• The reproducing kernel Hilbert space approach in nonparametric regression problems with correlated observations
• The BLUE in continuous-time regression models with correlated errors

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