most citedAsymptotic inference in some heteroscedastic regression models with long memory design and errors

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math.ST2008★ 21 cited

Asymptotic inference in some heteroscedastic regression models with long memory design and errors

Hongwen Guo, Hira L. Koul

This paper discusses asymptotic distributions of various estimators of the underlying parameters in some regression models with long memory (LM) Gaussian design and nonparametric h…