2006, English, Article edition: Limiting distribution of the least squares estimates in polynomial regression with long memory noises Boutahar, Mohamed

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Bookmark: http://trove.nla.gov.au/version/199250
Physical Description
  • text
Published
  • HAL - CCSD
  • 2006
Language
  • English

Edition details

Title
  • Limiting distribution of the least squares estimates in polynomial regression with long memory noises
Author
  • Boutahar, Mohamed
Published
  • HAL - CCSD
  • 2006
Physical Description
  • text
Subjects
Notes
  • We give the limiting distribution of the least squares estimator in the polynomial regression model driven by some long memory processes. We prove that with an appropriate normalization, the estimation error converges, in distribution, to a random vector which components are a mixture of stochastic integrals. These integrals are with respect to a Lebesgue measure, and can be computed recursively where the seed is a random variable which depends on the assumptions made on the noise process. The limiting distribution can be Gaussian or non Gaussian.
  • HAL:halshs-00409571, version 1
  • HAL:http:/​/​halshs.archives-ouvertes.fr/​halshs-00409571/​en/​
Language
  • English
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