Estimation of the dependence parameter in linear regression with long-range-dependent errors
DOI10.1016/S0304-4149(97)00061-6zbMATH Open0933.62059OpenAlexW2017361444MaRDI QIDQ1965876FDOQ1965876
Authors: L. Giraitis, Hira L. Koul 
Publication date: 1 March 2000
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00061-6
Recommendations
- M-estimators in linear models with long range dependent errors
- Estimation theory in partly linear regression models under long range dependence.
- scientific article; zbMATH DE number 1944313
- Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- scientific article; zbMATH DE number 2169682
Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Efficient parameter estimation for self-similar processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On large-sample estimation for the mean of a stationary random sequence
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Semiparametric analysis of long-memory time series
- Rates of convergence and optimal spectral bandwidth for long range dependence
- Gaussian semiparametric estimation of long range dependence
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- On estimation of a regression model with long-memory stationary errors
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- M-estimators in linear models with long range dependent errors
- Efficient location and regression estimation for long range dependent regression models
Cited In (19)
- Regression model fitting with long memory errors
- On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
- Weak convergence of multivariate fractional processes
- Estimation theory in partly linear regression models under long range dependence.
- Random-design regression under long-range dependent errors
- Computation of spatial Gini coefficients
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- Nonparametric regression under long-range dependent normal errors
- QML estimators in linear regression models with functional coefficient autoregressive processes
- Estimation of slowly time-varying trend function in long memory regression models
- Gaussian linear model selection in a dependent context
- On local slope estimation in partial linear models under Gaussian subordination
- On spline regression under Gaussian subordination with long memory
- Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes
- A regularised estimator for long-range dependent processes
- Efficient location and regression estimation for long range dependent regression models
- M-estimation for linear models with exchangeable errors
- Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise
- Semiparametric analysis of long-range dependence in nonlinear regression
This page was built for publication: Estimation of the dependence parameter in linear regression with long-range-dependent errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1965876)
