On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

From MaRDI portal
Publication:5829429

DOI10.1214/aoms/1177728784zbMath0056.38201OpenAlexW2057916813WikidataQ96043415 ScholiaQ96043415MaRDI QIDQ5829429

Ulf Grenander

Publication date: 1954

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177728784




Related Items (46)

Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errorsSequential estimation for time series regression modelsEfficiency of least-squares-estimation of polynomial trend when residuals are autocorrelatedA seasonal analysis of riverflow trendsOLS-BASED ASYMPTOTIC INFERENCE IN LINEAR REGRESSION MODELS WITH TRENDING REGRESSORS AND AR(p)-DISTURBANCESOn multivariate nonlinear regression models with stationary correlated errorsTesting for structural change in a long-memory environmentA refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errorsM-estimates for stationary and scaled residualsAsymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary processEstimates of linear regression coefficients on a homogeneous random fieldEquivalent sample sizes in time series regressionsAsymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singularOn Singular Spectrum Analysis And Stepwise Time Series ReconstructionON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISEResampling methods for spatial regression models under a class of stochastic designsOn the efficiency of regression analysis with AR(p) errorsAsymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrumNONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATAThe geometry of statistical efficiency and matrix statisticsControlling the size of autocorrelation robust testsOn the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression modelsAsymptotic normality of the residual correlogram in the continuous-time nonlinear regression modelM-estimators in linear models with long range dependent errorsSmall sample properties of estimators in the autocorrelated error model: a review and some additional simulationsAdaptive estimation in time series regression modelsClassification of Gaussian random processes using a simple linear discriminant and its application to seismic differentiationAsymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-seriesAsymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designsMultivariate time series analysisSome recent developments in the analysis of component models for economic time seriesSimple linear regression with multiple level shiftsTesting the exogeneity specification in the complete dynamic simultaneous equation modelEvaluation of Linear Trend Tests Using Resampling TechniquesAsymptotic properties of periodogram estimators in the trigonometric model for observations on the planeLimiting efficiency of OLS vs. GLS when regressors are fractionally integratedThe BLUE in continuous-time regression models with correlated errorsClassification of Gaussian random processes using a simple linear discriminant and its application to seismic differentiationPredicting hospital census using time series regression methodsFurther results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testingAsymptotic properties of rank estimators in a simple spatial linear regression model under spatial sampling designsSampling distribution for a class of estimators for nonregular linear processesSecond-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlationOn the least squares estimator asymptotic normality of the multivariate symmetric textured surface parametersOn asymptotic distribution and asymptotic efficiency of least squares estimators of spatial variogram parametersTesting for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression




This page was built for publication: On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance