Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model

DOI10.1016/j.spl.2017.11.016zbMath1463.62265OpenAlexW2775457143MaRDI QIDQ1650294

Spyridon D. Symeonides, Yiannis Karavias, Elias Tzavalis

Publication date: 3 July 2018

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

Full work available at URL: http://pure-oai.bham.ac.uk/ws/files/45150948/KST_OMEGA_Nov_15.pdf

zbMATH Keywords

linear regressionasymptotic approximationsstochastic expansionsAR(1) disturbancesautocorrelation robust inference

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) Nonparametric robustness (62G35) Linear regression; mixed models (62J05)

Cites Work

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