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Consistency of linear and quadratic least squares estimators in regression models with covariance stationary errors. (English) Zbl 0727.62087

Summary: The least squares invariant quadratic estimator of an unknown covariance function of a stochastic process is defined and a sufficient condition for consistency of this estimator is derived. The mean value of the observed process is assumed to fulfil a linear regression model. A sufficient condition for consistency of the least squares estimator of the regression parameters is derived, too.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05 Linear regression; mixed models
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References:

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