On the rate of convergence to the normal law for LSE in multivariate continuous regression model with long-range dependence stationary errors.

DOI10.1016/S0096-3003(03)00145-0zbMATH Open1035.62091MaRDI QIDQ1427872FDOQ1427872

Authors: Ahmed H. El-Bassiouny 

Publication date: 14 March 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

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zbMATH Keywords

Hermite polynomialsKolmogorov distanceAsymptotic normalityLeast squares estimatorRate of convergenceLong-memory errorsMultivariate continuous regression models

Mathematics Subject Classification ID

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

Cites Work

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• Long memory processes and fractional integration in econometrics
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• Exact parabolic asymptotics for singular \(n\)-D Burgers' random fields: Gaussian approximation
• Asymptotic properties of the LSE in a regression model with long-memory Gaussian and non-Gaussian stationary errors
• Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
• On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
• On estimation of regression coefficients of long memory random fields observed on the arrays
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Cited In (3)

• Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors
• Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields.
• Title not available (Why is that?)

Uses Software

• longmemo

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