Weighted least squares estimates in linear regression models for processes with uncorrelated increments

DOI10.1016/S0304-4149(96)00076-2zbMATH Open0881.62097WikidataQ127861589 ScholiaQ127861589MaRDI QIDQ1374641FDOQ1374641

Authors: Tiee-Jian Wu, M. T. Wasan 

Publication date: 10 December 1997

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Recommendations

• Weighted least squares estimates in partly linear regression models
• Estimation in multiple linear regression Berkson model for processes with uncorrelated incre\-ments
• Time integrated least squares estimators of regression parameters of a process with independent increments
• Weighted least squares and prediction

zbMATH Keywords

Gauss-Markov theoremcontinuous-time multiple linear regressionstochastic processes with orthogonal increments

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic processes (60G99)

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• Time integrated least squares estimators of regression parameters of independent stochastic processes
• Strong consistency of least squares estimates in linear regression models driven by semimartingales
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Cited In (8)

• Time integrated least squares estimators of regression parameters of a process with independent increments
• Linear sufficiency and linear admissibility in a continuous time Gauss-Markov model.
• Weighted least squares and prediction
• The Set of Weighted Regression Estimates
• Estimation in multiple linear regression Berkson model for processes with uncorrelated incre\-ments
• Inferences on process noise in a linear model
• Weighted linear regression models with fixed weights and spherical disturbances
• Time integrated least squares estimators of regression parameters of independent stochastic processes

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