Efficient location and regression estimation for long range dependent regression models

DOI10.1214/aos/1176324635zbMath0838.62084OpenAlexW2093795656MaRDI QIDQ1906200

Rainer Dahlhaus

Publication date: 8 February 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324635

zbMATH Keywords

regression parametersmeanpolynomial regressionweighted least squares estimatorefficient weighted \(M\)-estimatorsfully efficient estimatorGaussian long range dependent regression modelsself-similarity parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Limit theorems in probability theory (60F99)

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