Asymptotic properties of ordinary least squares estimators in Gauss regression for random fields

Cybernetics ◽  
1990 ◽  
Vol 25 (5) ◽  
pp. 641-648
Author(s):  
P. S. Knopov ◽  
E. I. Kasitskaya
Keyword(s):  
Least Squares ◽  
Random Fields ◽  
Asymptotic Properties ◽  
Ordinary Least Squares ◽  
Least Squares Estimators

scholarly journals Parameter Estimation for Long-Memory Stochastic Volatility at Discrete Observation

2014 ◽  
Vol 2014 ◽  
pp. 1-10
Author(s):  
Xiaohui Wang ◽  
Weiguo Zhang
Keyword(s):  
Least Squares ◽  
Stochastic Volatility ◽  
Long Memory ◽  
Least Squares Method ◽  
Ordinary Least Squares ◽  
Discrete Observations ◽  
Least Squares Estimators ◽  
And Diffusion ◽  
Ordinary Least Squares Method ◽  
Explicit Estimators

Ordinary least squares estimators of variogram parameters in long-memory stochastic volatility are studied in this paper. We use the discrete observations for practical purposes under the assumption that the Hurst parameterH∈(1/2,1)is known. Based on the ordinary least squares method, we obtain both the explicit estimators for drift and diffusion by minimizing the distance function between the variogram and the data periodogram. Furthermore, the resulting estimators are shown to be consistent and to have the asymptotic normality. Numerical examples are also presented to illustrate the performance of our method.

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