Giraitis, Liudas; Koul, Hira - In: Stochastic Processes and their Applications 71 (1997) 2, pp. 207-224
This paper establishes the consistency and the root-n asymptotic normality of the exact maximum likelihood estimator of the dependence parameter in linear regression models where the errors are a nondecreasing function of a long-range-dependent stationary Gaussian process. The spectral density...