Estimation of harmonic component in regression with cyclically dependent errors

Abstract

This paper deals with the estimation of hidden periodicities in a non-linear regression model with stationary noise displaying cyclical dependence. Consistency and asymptotic normality are established for the least-squares estimates.

Keywords:

• asymptotic distribution theory
• asymptotic inference
• hidden periodicities
• non-linear regression
• vector parameter

AMS Classifications:

• 62E20
• 62F10
• 60G18

Acknowledgements

N.N. Leonenko and M.D. Ruiz-Medina partially supported by grant of the European commission PIRSES-GA-2008-230804 (Maric Curie), projects MTM2009-13393 and MTM2012-32674 of the DGI, and P09-FQM-5052 of the Andalousian CICE, Spain, and the Australian Research Council grants A10024117 and DP 0345577.