On estimation of a regression model with long-memory stationary errors

DOI10.1214/aos/1176350837zbMath0661.62090OpenAlexW1998391885MaRDI QIDQ1113248

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350837

zbMATH Keywords

asymptotic efficiency central limit theorem least-squares estimator spectral density best linear unbiased estimator BLUE absolutely continuous spectrum strong consistency ergodic residuals correlation structure long-memory stationary errors asymptotic correlation matrix innovation variance martingale difference conditions polynomial case

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05)

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