Sequential estimation for time series re
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Takayuki Shiohama; Masanobu Taniguchi
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Article
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2004
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Elsevier Science
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English
β 297 KB
Sequential procedures are proposed to estimate the regression parameters in a linear regression model with dependent residuals. The error process considered here is a linear process with unknown spectral density. The sequential point estimator for the regression parameters is based on the least-squa