Weighted least squares estimates in linear regression models for processes with uncorrelated increments (Q1374641)
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scientific article; zbMATH DE number 1095931
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| English | Weighted least squares estimates in linear regression models for processes with uncorrelated increments |
scientific article; zbMATH DE number 1095931 |
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Weighted least squares estimates in linear regression models for processes with uncorrelated increments (English)
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10 December 1997
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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.
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continuous-time multiple linear regression
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stochastic processes with orthogonal increments
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Gauss-Markov theorem
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0.8207111358642578
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0.7989739179611206
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0.7978918552398682
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0.7975490093231201
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