Weighted least squares estimates in linear regression models for processes with uncorrelated increments (Q1374641)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weighted least squares estimates in linear regression models for processes with uncorrelated increments |
scientific article |
Statements
Weighted least squares estimates in linear regression models for processes with uncorrelated increments (English)
0 references
10 December 1997
0 references
The authors consider the multiple linear regression models with nonrandom regressors and with error processes having orthogonal increments. Based on the sample path(s) of such process(es) the weighted least-squares estimates of regression parameters and the variance parameter are obtained. Small and large sample properties of the proposed estimators are derived.
0 references
continuous-time multiple linear regression
0 references
stochastic processes with orthogonal increments
0 references
Gauss-Markov theorem
0 references
0 references
0 references
0 references
0 references
