Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

The BLUE in continuous-time regression models with correlated errors

Dette, Holger, Pepelyshev, Andrey ORCID: https://orcid.org/0000-0001-5634-5559 and Zhigljavsky, Anatoly ORCID: https://orcid.org/0000-0003-0630-8279 2019. The BLUE in continuous-time regression models with correlated errors. Annals of Statistics 47 (4) , pp. 1928-1959. 10.1214/18-AOS1734

[thumbnail of ar2blue46.pdf]
Preview
PDF - Accepted Post-Print Version
Download (537kB) | Preview

Abstract

In this paper, the problem of best linear unbiased estimation is investigated for continuous-time regression models. We prove several general statements concerning the explicit form of the best linear unbiased estimator (BLUE), in particular when the error process is a smooth process with one or several derivatives of the response process available for construction of the estimators. We derive the explicit form of the BLUE for many specific models including the cases of continuous autoregressive errors of order two and integrated error processes (such as integrated Brownian motion). The results are illustrated on many examples.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Institute of Mathematical Statistics
ISSN: 0090-5364
Date of First Compliant Deposit: 1 June 2018
Date of Acceptance: 1 June 2018
Last Modified: 07 Nov 2023 17:31
URI: https://orca.cardiff.ac.uk/id/eprint/111909

Citation Data

Cited 9 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics