Estimation of the dependence parameter in linear regression with long-range-dependent errors

Stochastic Processes and their Applications

Volumn 71, Issue 2, 1997, Pages 207-224

  Giraitis, Liudas ^a   Koul, Hira ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Logistic and double exponential marginal errors; Maximum likelihood estimator; n1 2 asymptotic normality; Polynomial regression; Unbounded spectral density

Indexed keywords

EID: 0031573365     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(97)00061-6     Document Type: Article

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