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Gaussian and non-Gaussian limit distributions of estimates of the regression coefficients of a long-memory time series

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Abstract

We obtain Gaussian and non-Gaussian distributions of estimates of regression coefficients of a long-memory time series.

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Authors
  1. M. M. Leonenko
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  2. M. M. Sharapov
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Additional information

Kiev University, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 7, pp. 931–939, July, 1999.

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Leonenko, M.M., Sharapov, M.M. Gaussian and non-Gaussian limit distributions of estimates of the regression coefficients of a long-memory time series. Ukr Math J 51, 1044–1054 (1999). https://doi.org/10.1007/BF02592040

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  • DOI: https://doi.org/10.1007/BF02592040

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