engleski

Asymptotic properties of the LSE in a regression model with long-memory Gaussian and non-Gaussian stationary errors

We study some problems of the parameter inference which a in connection with long-memory covariance stationary processes. We present the asymptotic behavior for the variance and the limit distributions of the LSE for the regression coefficients in some cases of long-memory, stationary, Gaussian and non-Gaussian errors.

regression model; long-memory Gaussian and non-Gaussian errors

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