Rates of convergence for time series regression

Abstract

Consider, initially, a time series regression model of the simplest kind, namely Assume that x(t) is second-order stationary with zero mean and absolutely continuous spectrum with density f(ω) so that The y(t) are taken to be part of a sequence generated entirely independently of x(t) and will be treated as constants. Let βN be the least squares estimate of β and Call the numerator and denominator of b(N), respectively, c(N), d(N). We shall use K for a positive finite constant, not always the same one. We have the following result, which is Menchoff's inequality [3].