On Estimation of a Regression Model with Long-Memory Stationary Errors

Yajima, Yoshihiro

Ann. Statist., Tome 16 (1988) no. 1, p. 791-807 / Harvested from Project Euclid

Résumé

We consider estimation of a regression model with long-memory stationary errors. First, we estimate the regression parameters by the least-squares estimator (LSE) and, next, those describing the correlation structure of the error terms by using the residuals obtained from the LSE. Certain regularity conditions introduced to develop the asymptotic theory no longer hold in this model. In this situation we derive asymptotic properties of the preceding estimation procedure.

Publié le : 1988-06-14
Classification: Long-memory models, regression, least-squares estimators, 62M10, 62J05

@article{1176350837,
     author = {Yajima, Yoshihiro},
     title = {On Estimation of a Regression Model with Long-Memory Stationary Errors},
     journal = {Ann. Statist.},
     volume = {16},
     number = {1},
     year = {1988},
     pages = { 791-807},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350837}
}

Yajima, Yoshihiro. On Estimation of a Regression Model with Long-Memory Stationary Errors. Ann. Statist., Tome 16 (1988) no. 1, pp.  791-807. http://gdmltest.u-ga.fr/item/1176350837/