Strong consistency of least squares estimates in linear regression models driven by semimartingales

Multiple linear regression models with non random regressors in continuous time are considered. The strong consistency of least squares estimates is established under minimal assumptions on the design when the process of errors is a semimartingale satisfying some regularity condition.

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Year of publication:	1987
Authors:	Le Breton, A. ; Musiela, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 23.1987, 1, p. 77-92
Publisher:	Elsevier
Subject:	multiple regression strong consistency semimartingale

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160342