On linear models with long memory and heavy-tailed errors
We consider the robust estimation of regression parameters in linear models with long memory and heavy-tailed errors. Asymptotic Bahadur-type representations of robust estimates are developed and their limiting distributions are obtained. It is shown that the limiting distributions are very different from those obtained under short memory. A simulation study is carried out to compare the performance of various asymptotic representations.
Year of publication: |
2011
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Authors: | Zhou, Zhou ; Wu, Wei Biao |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 102.2011, 2, p. 349-362
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Publisher: |
Elsevier |
Keywords: | Bahadur representation Heavy tails Long memory M-estimation |
Saved in:
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