ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE

• DOI: 10.5705/ss.202020.0457
• Publication Date: 2021-05-05T02:23:21Z
• Authors: Héctor Araya; Natalia Bahamonde; ; Lisandro Fermín; ; Tania Roa; ; Soledad Torres
• Keywords: Hurst exponent

In this study, we prove the strong consistency of least squares estimator in a random sampled linear regression model with long-memory noise and an independent set times given by renewal process sampling. Additionally, illustrate how to work number observations up time T = 1. A simulation study is provided behavior different terms, as well performance under various values Hurst parameter H.