Estimation of the dependence parameter in linear regression with long-range-dependent errors
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The authors establish the consistency and root-n asymptotic normality of the exact maximum likehood estimator of the dependence parameter in linear regression models where the errors are a nondecreasing function of a long-range-dependent Gaussian process. The spectral density of the Gaussian process is supposed to be unbounded at the origin. This paper generalizes some of the results of \textit{R. Dahlhaus} [Ann. Stat. 17, No. 4, 1749-1766 (1989; Zbl 0703.62091)] to linear regression models with non-Gaussian long-range-dependent errors.
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- Whittle estimator for finite-variance non-Gaussian time series with long memory
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- On local slope estimation in partial linear models under Gaussian subordination
- Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes
- Estimation of slowly time-varying trend function in long memory regression models
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- QML estimators in linear regression models with functional coefficient autoregressive processes
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