Asymptotic normality of regression estimators with long memory errors
β Scribed by Liudas Giraitis; Hira L Koul; Donatas Surgailis
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 676 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In this paper we deal with the prediction theory of longβmemory time series. The purpose is to derive a general theory of the convergence of moments of the nonlinear least squares estimator so as to evaluate the asymptotic prediction mean squared error (PMSE). The asymptotic PMSE of two
In this paper, we propose a combined regression estimator by using a parametric estimator and a nonparametric estimator of the regression function. The asymptotic distribution of this estimator is obtained for cases where the parametric regression model is correct, incorrect, and approximately corre