Asymptotic properties of the LSE in a regression model with long-memory Gaussian and non-Gaussian stationary errors

DOI10.1515/ROSE.1996.4.1.17MaRDI QIDQ4884653zbMATH OpenOpenAlexFDO

Authors M. Šilac-Benšić, Nikolai N. Leonenko

Publication date 6 November 1996

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

Full work available at URL https://doi.org/10.1515/rose.1996.4.1.17

zbMATH Keywords

least squares estimatesGaussian errorsnon-Gaussian errorslong-memory covariance stationary processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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