On Koul's minimum distance estimators in the regression models with long memory moving averages.

DOI10.1016/S0304-4149(02)00266-1zbMath1075.62620MaRDI QIDQ2574570

Linyuan Li

Publication date: 29 November 2005

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

zbMATH Keywords

consistencyasymptotic normalitylong-range dependenceminimum distance estimatorlinear regression model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Bahadur representations of M-estimators and their applications in general linear models ⋮ Minimum distance estimation in linear regression with strong mixing errors ⋮ Efficient algorithms for robust estimation in autoregressive regression models using Student’stdistribution ⋮ Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors ⋮ Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes

Uses Software

• longmemo

Cites Work

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