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Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations

✍ Scribed by Lihong Wang

Book ID
110549761
Publisher
Springer Japan
Year
2004
Tongue
English
Weight
688 KB
Volume
56
Category
Article
ISSN
0020-3157

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✍ Hira L. Koul; Richard T. Baillie πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 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