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The BLUE in continuous-time regression models with correlated errors

Dette, Holger, Pepelyshev, Andrey ORCID: and Zhigljavsky, Anatoly ORCID: 2019. The BLUE in continuous-time regression models with correlated errors. Annals of Statistics 47 (4) , pp. 1928-1959. 10.1214/18-AOS1734

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In this paper, the problem of best linear unbiased estimation is investigated for continuous-time regression models. We prove several general statements concerning the explicit form of the best linear unbiased estimator (BLUE), in particular when the error process is a smooth process with one or several derivatives of the response process available for construction of the estimators. We derive the explicit form of the BLUE for many specific models including the cases of continuous autoregressive errors of order two and integrated error processes (such as integrated Brownian motion). The results are illustrated on many examples.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Institute of Mathematical Statistics
ISSN: 0090-5364
Date of First Compliant Deposit: 1 June 2018
Date of Acceptance: 1 June 2018
Last Modified: 24 Oct 2022 19:26

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