Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

DOI10.1023/A:1009999607588zbMath0968.62050OpenAlexW1491599161MaRDI QIDQ5933673

Donatas Surgailis, Hira L. Koul

Publication date: 14 August 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009999607588

zbMATH Keywords

long memory designsmoving average long memory errorsunbounded spectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Nonparametric estimation (62G05)

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