On multiple regression models with nonstationary correlated errors

DOI10.1093/biomet/91.3.645zbMath1108.62093OpenAlexW2087021261MaRDI QIDQ3429968

Suhasini Subba Rao

Publication date: 20 March 2007

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0eb43c199df26c6799f1bf2e41f881a18f1df31c

zbMATH Keywords

Time seriesConsistencyAsymptotic normalityMultiple regressionNonstationaryLocal least squaresHeteroscedastic errorsLocal stationarityTemperature anomalies

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Meteorology and atmospheric physics (86A10)

Related Items (4)

Time series regression models with locally stationary disturbance ⋮ Semiparametric generalized least squares estimation in partially linear regression models with correlated errors ⋮ Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach ⋮ A recursive online algorithm for the estimation of time-varying ARCH parameters

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