Estimation of the autocorrelation coefficient in the presence of a regression trend

Anton Schick

Statistics & Probability Letters, 1994, vol. 21, issue 5, 371-380

Abstract: In this paper estimation of the autocorrelation parameter [sigma] is studied in nonparametric and semiparametric regression models with autoregressive errors. It is shown that under mild assumptions one can construct an estimator that is asymptotically equivalent to the least squares estimator based on the autoregressive error process.

Keywords: Nonparametric; regression; Semiparametric; regression; Additive; regression; Autoregressive; process (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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