Time series regression with long-range dependence

DOI10.1214/aos/1034276622zbMath0870.62072OpenAlexW2025087267MaRDI QIDQ1355170

Publication date: 1 September 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1034276622

zbMATH Keywords

errors Monte Carlo study central limit theorem long-range dependence generalized least squares autocorrelation spectral singularities nonlinear least squares stochastic regressors time series regression estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) General nonlinear regression (62J02) Self-similar stochastic processes (60G18)

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