Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 1005345 (Why is no real title available?)
- scientific article; zbMATH DE number 1941665 (Why is no real title available?)
- scientific article; zbMATH DE number 2148833 (Why is no real title available?)
- scientific article; zbMATH DE number 194998 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A consistent estimator for nonlinear regression models
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Asymptotic theory of nonlinear least squares estimation
- Asymptotic theory of nonlinear regression with long-range dependence
- Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
- Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions
- Convergence of integrated processes of arbitrary Hermite rank
- Efficient parameter estimation for self-similar processes
- Estimating the parametric component of nonlinear partial spline model
- Fractional differencing
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Log-periodogram regression of time series with long range dependence
- Long memory processes and fractional integration in econometrics
- Long memory versus structural breaks: an overview
- Long-Term Memory in Stock Market Prices
- Multiple stochastic integrals with dependent integrators
- Non-central limit theorems for non-linear functional of Gaussian fields
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Robust estimation of nonlinear regression with autoregressive errors.
- Second-order nonlinear least squares estimation
- Semiparametric analysis of long-range dependence in nonlinear regression
- Stochastic regression model with dependent disturbances
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for structural change in a long-memory environment
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors
- Time series regression with long-range dependence
- Wavelet analysis of long-range-dependent traffic
- Wavelet regression in random design with heteroscedastic dependent errors
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(5)- Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
- Local linear estimation for regression models with locally stationary long memory errors
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
- Asymptotic properties of the LSE in a regression model with long-memory stationary errors
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