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...

We discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation Xt=[zeta]tAt+Bt,(*), where are standard i.i.d. r.v.'s, and At,Bt are moving averages in Xs, st. Stationary solution of (*) is obtained as an orthogonal Volterra expansion. In the case...

The aggregation procedure when a sample of length N is divided into blocks of length m=o(N), m--[infinity] and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu et al. (1995, Fractals, 3, 785-798), and Teverovsky and Taqqu (1997, J. Time...