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June, 1988 On Estimation of a Regression Model with Long-Memory Stationary Errors
Yoshihiro Yajima
Ann. Statist. 16(2): 791-807 (June, 1988). DOI: 10.1214/aos/1176350837

Abstract

We consider estimation of a regression model with long-memory stationary errors. First, we estimate the regression parameters by the least-squares estimator (LSE) and, next, those describing the correlation structure of the error terms by using the residuals obtained from the LSE. Certain regularity conditions introduced to develop the asymptotic theory no longer hold in this model. In this situation we derive asymptotic properties of the preceding estimation procedure.

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Yoshihiro Yajima. "On Estimation of a Regression Model with Long-Memory Stationary Errors." Ann. Statist. 16 (2) 791 - 807, June, 1988. https://doi.org/10.1214/aos/1176350837

Information

Published: June, 1988
First available in Project Euclid: 12 April 2007

zbMATH: 0661.62090
MathSciNet: MR947579
Digital Object Identifier: 10.1214/aos/1176350837

Subjects:
Primary: 62M10
Secondary: 62J05

Rights: Copyright © 1988 Institute of Mathematical Statistics

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Vol.16 • No. 2 • June, 1988
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