M-estimators in linear models with long range dependent errors

DOI10.1016/0167-7152(92)90079-KzbMath0759.62023MaRDI QIDQ1198999

Hira L. Koul

Publication date: 16 January 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityGaussian processpolynomialslinear model\(M\)-estimatorleast squares estimatorlong range dependencenon-normalitylinearityHermite ranksymmetric errorsdependent errorsnon- random designsskew symmetric scoresstationary mean zero random vector process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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