Stochastic regression model with heteroscedastic disturbance

DOI10.1007/BF00773467zbMath0834.62065OpenAlexW2077245611MaRDI QIDQ1901683

Guan-Chyun Lin, Der-Shin Chang

Publication date: 11 December 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00773467

zbMATH Keywords

asymptotic normalitymartingalesstrong consistencymartingale difference sequencesstochastic regression modelmultiple regression modellinear hypothesis testing problemgeneralized weighted least squares estimateheteroscedastic disturbance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

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Cites Work

• Asymptotic Properties of Non-Linear Least Squares Estimators
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
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