Document Type

Article

Publication Date

9-15-2008

DOI

http://dx.doi.org/10.1016/j.spl.2008.01.057

Abstract

This paper proposes an accurate confidence interval for the trend parameter in a linear regression model with long memory errors. The interval is based upon an equivalent sum of squares method and is shown to perform comparably to a weighted least squares interval. The advantages of the proposed interval lies in its relative ease of computation and should be attractive to practitioners.

Copyright Statement

This is an author-produced, peer-reviewed version of this article. © 2009, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (https://creativecommons.org/licenses/by-nc-nd/4.0/). The final, definitive version of this document can be found online at Statistics & Probability Letters, doi: 10.1016/j.spl.2008.01.057

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Mathematics Commons

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