Asymptotic properties of the LSE in a regression model with long-memory stationary errors
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Publication:805116
DOI10.1214/aos/1176347975zbMath0728.62085OpenAlexW2078454671MaRDI QIDQ805116
Publication date: 1991
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347975
asymptotic efficiencybest linear unbiased estimatorleast squares estimatorshigher-order cumulantslong-memory stationary errorswhite- noise process
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)
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