Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146898 | Journal of Multivariate Analysis | 2011 | 14 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Zhou Zhou, Wei Biao Wu,