Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.

DOI10.1016/S0167-7152(02)00354-1zbMath1038.62080OpenAlexW2072881107MaRDI QIDQ1424465

Hira L. Koul, Richard T. Baillie

Publication date: 14 March 2004

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00354-1

zbMATH Keywords

TablesForward premiumsLeast absolute deviation estimatorsRoot mean squared error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items

On spline regression under Gaussian subordination with long memory, Asymptotic behaviour of the LS estimator in a nonlinear model with long memory, On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data, Weak linear representation of M-estimaton in GLMs with dependent errors, Estimation of harmonic component in regression with cyclically dependent errors, The S-estimator in the change-point random model with long memory

Uses Software

• longmemo

Cites Work

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