Asymptotic normality of regression estimators with long memory errors

DOI10.1016/0167-7152(95)00188-3zbMATH Open0903.62022OpenAlexW1999236360MaRDI QIDQ1129435FDOQ1129435

Authors: L. Giraitis, Hira L. Koul, Donatas Surgailis 

Publication date: 10 January 1999

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

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00188-3

Recommendations

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• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• Asymptotic normality of estimators in semiparametric regression models for longitudinal data

zbMATH Keywords

asymptotic normalityM-estimatorsAppell polynomialsR-estimatorsweighted empiricals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

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Cited In (58)

• Influence of long memory on the asymptotic behaviour of functional estimators
• Title not available (Why is that?)
• Berry-Esseen bounds for kernel estimates of stationary processes
• Regression model fitting with long memory errors
• On the empirical process of tempered moving averages
• Local asymptotic normality for regression models with long-memory disturbance
• Kernel density estimation for linear processes
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum
• Template matching with ranks
• Nonparametric estimation of conditional medians for linear and related processes
• Title not available (Why is that?)
• Asymptotic properties of \(M\)-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
• Nonparametric estimation under long memory dependence
• On linear models with long memory and heavy-tailed errors
• The change-point problem for dependent observations
• Second-order behavior of M-estimators in linear regression with long-memory errors
• Marginal density estimation for linear processes with cyclical long memory
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• An \(M\)-estimator for the long-memory parameter
• Mildly explosive autoregression under weak and strong dependence
• Nonparametric regression for dependent data in the errors-in-variables problem
• Asymptotic expansion of \(M\)-estimators with long-memory errors
• REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
• Nonparametric density estimation for linear processes with infinite variance
• On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
• Asymptotic theory for curve-crossing analysis
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• ON M‐Estimation Under Long‐Range Dependence in Volatility
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• Asymptotics of estimators for nonparametric multivariate regression models with long memory
• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• Polynomial Trend Regression With Long‐memory Errors
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise
• Empirical process of residuals for regression models with long memory errors
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• Goodness-of-fit testing under long memory
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Lack of fit test for long memory regression models
• Minimum distance lack-of-fit tests under long memory errors
• Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
• Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions
• Stable limits of empirical processes of moving averages with infinite variance.
• Stable limits of sums of bounded functions of long memory moving averages with finite variance
• Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Goodness-of-fit tests for long memory moving average marginal density
• On location estimation for LARCH processes
• A note on quantile estimation for long-range dependent stochastic processes
• Smooth estimation of error distribution in nonparametric regression under long memory
• Semiparametric analysis of long-range dependence in nonlinear regression
• Nonparametric estimation for dependent data
• The smoothing dichotomy in nonparametric regression under long‐memory errors
• Super optimal rates for nonparametric density estimation via projection estimators
• On the integrated mean squared error of wavelet density estimation for linear processes
• Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
• Robust estimation in parametric time series models under long- and short-range-dependent structures

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