A. V. Ivanov, I. V. Orlovsky, “Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise”, Theory Stoch. Process., 2014, том 19(35), выпуск 1,страницы 1

Эта публикация цитируется в 1 статье

Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise

A. V. Ivanov, I. V. Orlovsky

National Technical University of Ukraine "KPI", Department of mathematical analysis and probability theory, Peremogi avenue 37, Kiev, Ukraine

Аннотация: Sufficient conditions of consistency and asymptotic normality of least squares estimator of linear regression model parameter in the case of long-range dependent random regressors and noise are obtained in the paper.

Ключевые слова: Consistency, asymptotic normality, least squares estimator, linear regression, random regressors, long-range dependence.

MSC: Primary 62J02; Secondary 62J99

Язык публикации: английский