Preliminary test estimation for regression models with long-memory disturbance

Masanobu Taniguchi, Hiroaki Ogata, Hiroshi Shiraishi

    研究成果: Article

    2 引用 (Scopus)

    抄録

    For a class of time series regression models with long-memory disturbance, we are interested in estimation of a subset of the regression coefficient vector and spectral parameter of the residual process when the complementary subset is suspected to be close to 0. In this situation, we evaluate the mean square errors of the restricted and unrestricted MLE and a preliminary test estimator when the complementary parameters are contiguous to zero vector. The results are expressed in terms of the regression spectra and the residual spectra. Since we assume long-memory dependence for the disturbance, the asymptotics are much different from the case of i.i.d. disturbance. Numerical studies elucidate some interesting features of regression and long-memory structures.

    元の言語English
    ページ(範囲)3213-3224
    ページ数12
    ジャーナルCommunications in Statistics - Theory and Methods
    38
    発行部数16-17
    DOI
    出版物ステータスPublished - 2009 1

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    Preliminary Test
    Long Memory
    Regression Model
    Disturbance
    Regression
    Preliminary Test Estimator
    Zero vector
    Subset
    Time Series Models
    Regression Coefficient
    Mean square error
    Numerical Study
    Evaluate

    ASJC Scopus subject areas

    • Statistics and Probability

    これを引用

    Preliminary test estimation for regression models with long-memory disturbance. / Taniguchi, Masanobu; Ogata, Hiroaki; Shiraishi, Hiroshi.

    :: Communications in Statistics - Theory and Methods, 巻 38, 番号 16-17, 01.2009, p. 3213-3224.

    研究成果: Article

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