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

DOI10.1016/S0304-4149(96)00076-2MaRDI QIDQ1374641zbMATH OpenWikidataFDO

Authors Tiee-Jian Wu, M. T. Wasan

Publication date 10 December 1997

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

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)

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

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• Weak and strong consistency of the least squares estimators in regression models
• When the data are functions

Cited in

(8)

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

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