Preliminary Test Estimation for Regression Models with Long-Memory Disturbance

DOI10.1080/03610920902947741zbMath1175.62098OpenAlexW2040002500MaRDI QIDQ3645038

Hiroaki Ogata, Masanobu Taniguchi, Hiroshi Shiraishi

Publication date: 16 November 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902947741

zbMATH Keywords

long-memory processpreliminary test estimatorrestricted MLEfractional spectral densityLAN theoremtime regression modelunrestricted MLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Shrinkage estimation strategy in quasi-likelihood models ⋮ Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes

Cites Work

• Unnamed Item
• Long memory relationships and the aggregation of dynamic models
• Asymptotic theory of statistical inference for time series
• Local asymptotic normality for regression models with long-memory disturbance
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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