Estimation of the dependence parameter in linear regression with long-range-dependent errors

DOI10.1016/S0304-4149(97)00061-6zbMath0933.62059OpenAlexW2017361444MaRDI QIDQ1965876

Liudas Giraitis, Hira L. Koul

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00061-6

zbMATH Keywords

asymptotic normalityunbounded spectral densitymaximum likehood estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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