Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion

Tania Roa, Soledad Torres, Ciprian Tudor

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

In this article, we study the limit distribution of the least square estimator, properly normalized, from a regression model in which observations are assumed to be finite (αN) and sampled under two different random times. Based on the limit behavior of the characteristic function and convergence result we prove the asymptotic normality for the least square estimator. We present simulations results to illustrate our theoretical results.

Idioma originalInglés
PublicaciónCommunications in Statistics - Theory and Methods
DOI
EstadoAceptada/en prensa - 2021
Publicado de forma externa

Huella

Profundice en los temas de investigación de 'Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion'. En conjunto forman una huella única.

Citar esto