Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields.

DOI10.1016/S0096-3003(03)00336-9zbMath1035.62047OpenAlexW2039164489MaRDI QIDQ1428417

Ahmed H. El-Bassiouny

Publication date: 29 March 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00336-9

zbMATH Keywords

Hermite polynomialsLeast squares estimatorsLong-memory errorsMultivariate continuous regression modelsMultiple Wiener Itô integrals

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Uses Software

• longmemo

Cites Work

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• Multiple stochastic integrals with dependent integrators
• Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors
• Long memory processes and fractional integration in econometrics
• On estimation of regression coefficients of long memory random fields observed on the arrays
• Asymptotic properties of the LSE in a regression model with long-memory Gaussian and non-Gaussian stationary errors
• Spectral analysis of fractional kinetic equations with random data.

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