On the rate of convergence to the normal law of LSE in regression with long range dependence

Authors

  • Nicolai N. Leonenko Cardiff University
  • Emanuele Taufer Università degli Studi di Trento

DOI:

https://doi.org/10.6092/issn.1973-2201/338

Abstract

In this paper we study the rate of convergence to the normal approximation of the least squares estimators in a regression model with long range dependent errors. The method of investigation used is based on the asymptotic analysis of orthogonal expansions of non linear functionals of stationary Gaussian processes and on Kolmogorov's distance.

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Published

2007-10-19

How to Cite

Leonenko, N. N., & Taufer, E. (2003). On the rate of convergence to the normal law of LSE in regression with long range dependence. Statistica, 63(1), 53–69. https://doi.org/10.6092/issn.1973-2201/338

Issue

Vol. 63 No. 1 (2003)

Section

Articles

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Copyright (c) 2003 Statistica

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