Estimation of the dependence parameter in linear regression with long-range-dependent errors

DOI10.1016/S0304-4149(97)00061-6MaRDI QIDQ1965876zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic normalityunbounded spectral densitymaximum likehood estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3978040 (Why is no real title available?)
• scientific article; zbMATH DE number 3437452 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Efficient location and regression estimation for long range dependent regression models
• Efficient parameter estimation for self-similar processes
• Gaussian semiparametric estimation of long range dependence
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• M-estimators in linear models with long range dependent errors
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• On estimation of a regression model with long-memory stationary errors
• On large-sample estimation for the mean of a stationary random sequence
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Semiparametric analysis of long-memory time series

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

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