Estimation of the dependence parameter in linear regression with long-range-dependent errors (Q1965876)
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scientific article; zbMATH DE number 1409142
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the dependence parameter in linear regression with long-range-dependent errors |
scientific article; zbMATH DE number 1409142 |
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Estimation of the dependence parameter in linear regression with long-range-dependent errors (English)
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1 March 2000
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The authors establish the consistency and root-n asymptotic normality of the exact maximum likehood estimator of the dependence parameter in linear regression models where the errors are a nondecreasing function of a long-range-dependent Gaussian process. The spectral density of the Gaussian process is supposed to be unbounded at the origin. This paper generalizes some of the results of \textit{R. Dahlhaus} [Ann. Stat. 17, No. 4, 1749-1766 (1989; Zbl 0703.62091)] to linear regression models with non-Gaussian long-range-dependent errors.
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unbounded spectral density
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maximum likehood estimator
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asymptotic normality
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0.9374394
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0.9206191
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0.9138968
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