Second-order behavior of M-estimators in linear regression with long-memory errors

DOI10.1016/S0378-3758(00)00190-7zbMath0967.62040MaRDI QIDQ5928943

Hira L. Koul, Donatas Surgailis

Publication date: 2 September 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) General nonlinear regression (62J02) Functional limit theorems; invariance principles (60F17)

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