Minimum distance estimation in linear models with long-range dependent errors

DOI10.1016/0167-7152(94)00029-8MaRDI QIDQ1341366zbMATH OpenOpenAlexFDO

Authors Kanchan Mukherjee

Publication date 9 January 1995

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)00029-8

zbMATH Keywords

asymptotic representationsasymptotic uniform quadraticitygoodness of fit testsHermite polynomialsHermite rankL2-distance estimatorslimiting distributionslong-range dependentmultiple linear regression modelstationary Gaussian random variablesweighted empirical processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Minimum distance estimation in linear regression with unknown error distributions
• Minimum distance estimation in linear regression with strong mixing errors
• Minimum distance estimation of the errors-in-variables model using linear cumulant equations
• Minimum distance estimation in random coefficient regression models
• M-estimators in linear models with long range dependent errors

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• scientific article; zbMATH DE number 3137533 (Why is no real title available?)
• scientific article; zbMATH DE number 3820911 (Why is no real title available?)
• scientific article; zbMATH DE number 3982280 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• Minimum Distance and Robust Estimation
• Minimum distance estimation in linear regression with unknown error distributions
• Minimum Distance Estimators for Location and Goodness of Fit
• On estimation of a regression model with long-memory stationary errors
• Robust estimation via minimum distance methods
• The ``automatic robustness of minimum distance functionals
• The empirical process of some long-range dependent sequences with an application to U-statistics
• The Minimum Distance Method
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(12)

• Minimum distance estimation in linear regression with unknown error distributions
• M-estimators in linear models with long range dependent errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Regression quantiles and related processes under long range dependent errors
• \(M\)-estimation for dependent random variables
• Minimum distance regression-type estimates with rates under weak dependence
• Weighted empirical minimum distance estimators in linear errors-in-variables regression models
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• scientific article; zbMATH DE number 4163965 (Why is no real title available?)
• Asymptotics of minimum distance estimator in linear regression models under strong mixing
• The asymptotic behaviour of a class ofL-estimators under long-range dependence
• Minimum distance estimation in linear regression with strong mixing errors

This page was built for publication: Minimum distance estimation in linear models with long-range dependent errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1341366)