On linear models with long memory and heavy-tailed errors

JOURNAL OF MULTIVARIATE ANALYSIS

卷:102

Article

Zhou, Zhou¹ 

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

关键词: Bahadur representation;    Heavy tails;    Long memory;    M-estimation;   

DOI  :  10.1016/j.jmva.2010.09.009

来源: Elsevier

【 摘 要 】

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 (C) 2010 Elsevier Inc All rights reserved

【 授权许可】

Free