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Theory of Stochastic Processes, 2014, Volume 19(35), Issue 1, Pages 1–10 (Mi thsp1)  
This article is cited in 1 scientific paper (total in 1 paper)

Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise

A. V. Ivanov, I. V. Orlovsky

National Technical University of Ukraine "KPI", Department of mathematical analysis and probability theory, Peremogi avenue 37, Kiev, Ukraine
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Abstract: Sufficient conditions of consistency and asymptotic normality of least squares estimator of linear regression model parameter in the case of long-range dependent random regressors and noise are obtained in the paper.
Keywords: Consistency, asymptotic normality, least squares estimator, linear regression, random regressors, long-range dependence.
Bibliographic databases:
Document Type: Article
MSC: Primary 62J02; Secondary 62J99
Language: English
Citation: A. V. Ivanov, I. V. Orlovsky, “Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise”, Theory Stoch. Process., 19(35):1 (2014), 1–10
Citation in format AMSBIB
\Bibitem{IvaOrl14}
\by A.~V.~Ivanov, I.~V.~Orlovsky
\paper Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise
\jour Theory Stoch. Process.
\yr 2014
\vol 19(35)
\issue 1
\pages 1--10
\mathnet{http://mi.mathnet.ru/thsp1}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3337129}
\zmath{https://zbmath.org/?q=an:1313.62090}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Theory of Stochastic Processes
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