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Asymptotic Normality of the Whittle Estimator in Linear Regression Models with Long Memory Errors

โœ Scribed by Hira L. Koul; Donatas Surgailis


Book ID
110284843
Publisher
Springer Netherlands
Year
2000
Tongue
English
Weight
117 KB
Volume
3
Category
Article
ISSN
1387-0874

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Asymptotics of M-estimators in non-linea
โœ Hira L. Koul; Richard T. Baillie ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 198 KB

This paper derives the asymptotic distribution of a class of M -estimators in a family of non-linear regression models when the errors and the design variables are long memory moving averages. The class of estimators includes analogs of the least square, least absolute deviation and the Huber(c) est