Polynomial Trend Regression With Long‐memory Errors

DOI10.1111/J.1467-9892.2005.00405.XMaRDI QIDQ5467606zbMATH OpenOpenAlexFDO

Authors Hwai-Chung Ho, Nan-Jung Hsu

Publication date 24 May 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00405.x

zbMATH Keywords

ordinary least squares

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Linear Trend with Fractionally Integrated Errors
• On estimating the marginal distribution of a detrended series with long memory
• S-estimation in the linear regression model with long-memory error terms under trend
• Asymptotic theory for certain regression models with long memory errors
• On estimation of a regression model with long-memory stationary errors

Cites work

• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Asymptotic normality of regression estimators with long memory errors
• Asymptotic theory for certain regression models with long memory errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Convergence of integrated processes of arbitrary Hermite rank
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Linear Trend with Fractionally Integrated Errors
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• M-estimators in linear models with long range dependent errors
• Multiple Wiener-Ito integrals. With applications to limit theorems
• The central limit theorem for time series regression
• The Invariance Principle for Stationary Processes
• Time series regression with long-range dependence
• Time series: theory and methods

Cited in

(6)

• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Linear Trend with Fractionally Integrated Errors
• scientific article; zbMATH DE number 536566 (Why is no real title available?)
• Fitting polynomial trend to time series by the method of Buys-Ballot estimators
• Lack of fit test for long memory regression models

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Polynomial Trend Regression With Long‐memory Errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5467606)