Second-order least-squares estimation for regression models with autocorrelated errors

Dedi Rosadi; Shelton Peiris

doi:10.1007/s00180-013-0470-1

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Second-order least-squares estimation for regression models with autocorrelated errors

Dedi Rosadi Shelton Peiris

Year: 2013 Journal: Computational Statistics Vol: 29 (5)Pages: 931-943 Publisher: Springer Science+Business Media

DOI: 10.1007/s00180-013-0470-1

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Keywords:

Ordinary least squares Mathematics Estimator Statistics Autocorrelation Consistency (knowledge bases) Generalized least squares Moment (physics) Independent and identically distributed random variables Mean squared error Least-squares function approximation Asymptotic distribution Applied mathematics Standard error Random variable Discrete mathematics

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Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Second-order least-squares estimation for regression models with autocorrelated errors

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