Geodesic
Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise
Teoriâ slučajnyh processov, Tome 19 (2014) no. 1, pp. 1-10

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Sufficient conditions of consistency and asymptotic normality of least squares estimator of linear regression model parameter in the case of long-range dependent random regressors and noise are obtained in the paper.
Keywords: Consistency, asymptotic normality, least squares estimator, linear regression, random regressors, long-range dependence. 
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     author = {A. V. Ivanov and I. V. Orlovsky},
     title = {Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise},
     journal = {Teori\^a slu\v{c}ajnyh processov},
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A. V. Ivanov; I. V. Orlovsky. Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise. Teoriâ slučajnyh processov, Tome 19 (2014) no. 1, pp. 1-10. http://geodesic.mathdoc.fr/item/THSP_2014_19_1_a0/