Linear regression with nonstationary variables and constraints on its parameters

The problem of estimating parameters of a linear regression with allowance for inequality constraints on the parameters is considered in the special case when its variables have a trend. A parameter estimation algorithm is described. The consistency of parameter estimates is proved and their asymptotic distribution is found. Consistent estimates are proposed for the mean-square error matrix of estimates of regression parameters and noise dispersion under rather general assumptions on the law of noise distribution. Translated from Kibernetika i Sistemnyi Analiz, No. 3, pp. 50–64, May–June 2009.