Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors

zbMath0996.62082MaRDI QIDQ1605861

Emanuele Taufer, Nikolai N. Leonenko

Publication date: 28 July 2002

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

Hermite polynomialsmultivariate regressionleast squares estimatorslong memory errorsmultiple Wiener Ito integrals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

Related Items (4)

On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields. ⋮ Weak convergence of functionals of stationary long memory processes to Rosenblatt-type distributions ⋮ On LSE in regression model for long-range dependent random fields on spheres

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