Estimation in regression models with stationary, dependent errors

DOI10.1080/03610928108828210zbMath0518.62072OpenAlexW2073993655MaRDI QIDQ3667803

Leslie J. Hills, R. L. Sandland, Clyde A. McGilchrist

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/03610928108828210

zbMATH Keywords

time seriesmaximum likelihood estimatorregression modelsrecursive estimationsrecursive residualsstationary Gaussian sequencemethod of scoringstationary dependent errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized stochastic processes (60G20)

Related Items (5)

Regression analysis of dependent error models ⋮ Recursive estimation and residuals ⋮ Updating linear models with dependent errors to include additional data and/or parameters ⋮ Recursive residuals in generalised linear models ⋮ Reml estimation for repeated measures analysis

Cites Work

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• Fractional Brownian Motions, Fractional Noises and Applications
• Linear Statistical Inference and its Applications
• SOME THEOREMS IN LEAST SQUARES

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