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## Colloquium Mathematicum

2004 | 100 | 1 | 29-71
Tytuł artykułu

### Consistency of the LSE in Linear regression with stationary noise

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Języki publikacji
EN
Abstrakty
EN
We obtain conditions for L₂ and strong consistency of the least square estimators of the coefficients in a multi-linear regression model with a stationary random noise. For given non-random regressors, we obtain conditions which ensure L₂-consistency for all wide sense stationary noise sequences with spectral measure in a given class. The condition for the class of all noises with continuous (i.e., atomless) spectral measures yields also $L_{p}$-consistency when the noise is strict sense stationary with continuous spectrum and finite absolute pth moment, p ≥ 1 (even without finite variance).
When the spectral measure of the noise is not continuous, we assume that the non-random regressors are Hartman almost periodic, and obtain a spectral condition for L₂-consistency. An additional assumption on the regressors yields strong consistency for strictly stationary noise sequences.
We also treat the case when the regressors are random sequences, with trends having some good averaging properties and with additive stationary ergodic random fluctuations independent of the noise. When the noise and the fluctuations have disjoint point spectra and the noise is strict sense stationary, we obtain strong consistency of the LSE.
The results are applied to amplitude estimation in sums of harmonic signals with known frequencies.
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Rocznik
Tom
Numer
Strony
29-71
Opis fizyczny
Daty
wydano
2004
Twórcy
autor
• Department of Mathematics, Ben-Gurion University, Beer-Sheva, Israel
autor
• Department of Mathematics, Ben-Gurion University of the Negev, Beer-Sheva, Israel
autor
• Department of Statistics, Penn State University, University Park, PA 16802, U.S.A.
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