Asymptotic behavior of M-estimators in continuous-time non-linear regression with long-range dependent errors

DOI10.1515/rose.2002.10.3.201zbMath1010.62022OpenAlexW2000044511MaRDI QIDQ4780939

Nikolai N. Leonenko, Alexander V. Ivanov

Publication date: 21 November 2002

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2002.10.3.201

zbMATH Keywords

M-estimatorslong-range dependencenonlinear regressionasymptotic inference

Mathematics Subject Classification ID

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

Related Items (8)

Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence ⋮ M-estimates for stationary and scaled residuals ⋮ Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular ⋮ Asymptotic properties of one class of periodic estimates ⋮ Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ Weak convergence of functionals of stationary long memory processes to Rosenblatt-type distributions ⋮ On location estimation for LARCH processes

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