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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

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.

MSC: Primary 62J02; Secondary 62J99

Language: English

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