Journal
STATISTICAL PAPERS
Volume 62, Issue 2, Pages 639-659Publisher
SPRINGER
DOI: 10.1007/s00362-019-01091-1
Keywords
Linear regression model; Maximum likelihood estimator; Fractional time series; Asymptotic property
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This paper examines a linear regression model, explores the estimation of parameters and the asymptotic properties of estimators, and validates the method through a real example.
Fractal time series and linear regression models are known to play an important role in many scientific disciplines and applied fields. Although there have been enormous development after their appearance, nobody investigates them together. The paper studies a linear regression model (or trending fractional time series model) yt = xT t ss + et, t = 1, 2,..., n, where et = similar to- dg( L;.).t with parameters 0 = d = 1,., ss, s2 and.t i.i.d. with zero mean and variance s2. Firstly, the pseudo-maximum likelihood (ML) estimators of., ss, s2 are given. Secondly, under general conditions, the asymptotic properties of the ML estimators are investigated. Lastly, the validity of method is illuminated by a real example.
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