ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE

DOI10.5705/ss.202020.0457OpenAlexW4200187870MaRDI QIDQ6039855

Héctor Araya, Lisandro J. Fermín, Soledad Torres, Natalia Bahamonde, Tania Roa

Publication date: 23 May 2023

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202020.0457

zbMATH Keywords

least squares estimatorrenewal processregression modelrandom timeslong-memory noise

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE, On the Consistency of Least Squares Estimator in Models Sampled at Random Times Driven by Long Memory Noise: The Jittered Case, Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion, Least-square estimators in linear regression models under negatively superadditive dependent random observations

Cites Work

• Unnamed Item
• Spectral estimation for locally stationary time series with missing observations
• Forward, backward and symmetric stochastic integration
• Finite sample performance of density estimators from unequally spaced data
• Differential equations driven by fractional Brownian motion
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Kernel estimation of the regression function with random sampling times
• Random discretization of stationary continuous time processes
• Analysis of Variations for Self-similar Processes
• A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times
• Long Memory in Nonlinear Processes
• Aggregation of Doubly Stochastic Interactive Gaussian Processes and Toeplitz forms of U-Statistics
• Probability density estimation from sampled data
• EFFICIENT NON‐PARAMETRIC ESTIMATION OF THE SPECTRAL DENSITY IN THE PRESENCE OF MISSING OBSERVATIONS
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
• Fractional Brownian Motions, Fractional Noises and Applications
• ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE