Ivanov, A and Leonenko, Nikolai N. ![]() |
Official URL: http://dx.doi.org/10.1016/j.jspi.2007.06.027
Abstract
This paper establishes consistency and asymptotic distribution theory for the least squares estimate of a vector parameter of non-linear regression with long-range dependent noise. A covariance-based estimate of the memory parameter is proposed. The consistency of the estimate is established
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Uncontrolled Keywords: | asymptotic inference ; consistency ; dependence parameter; least squares estimate (LSE); long-range dependence; non-linear regression; vector parameter; rate of convergence; semi-parametric estimate; time-domain estimate |
Publisher: | Elsevier |
ISSN: | 0378-3758 |
Last Modified: | 18 Oct 2022 13:27 |
URI: | https://orca.cardiff.ac.uk/id/eprint/13959 |
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