Asymptotic behaviour of the LS estimator in a nonlinear model with long memory

DOI10.1016/J.JKSS.2010.09.004zbMATH Open1296.62139OpenAlexW2012654394MaRDI QIDQ458114FDOQ458114

Authors: Gabriela Ciuperca 

Publication date: 30 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.09.004

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zbMATH Keywords

asymptotic propertieslong memorynonlinear modelleast squares estimator

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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Cited In (5)

• 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
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Uses Software

• longmemo

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