Pseudo-maximum likelihood estimators in linear regression models with fractional time series

DOI10.1007/s00362-019-01091-1zbMath1477.62246OpenAlexW2938338370WikidataQ128087599 ScholiaQ128087599MaRDI QIDQ2066515

Xinxin Yu, Weifu Hu, Hong Chang Hu

Publication date: 14 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01091-1

zbMATH Keywords

maximum likelihood estimatorlinear regression modelasymptotic propertyfractional time series

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)

Uses Software

• longmemo

Cites Work

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