On linear models with long memory and heavy-tailed errors

被引：8

作者：

Zhou, Zhou ^{[1
]}

Wu, Wei Biao

机构：

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

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2011年 / 102卷 / 02期

关键词：

Bahadur representation; Heavy tails; Long memory; M-estimation; M-ESTIMATORS; REGRESSION; CONSISTENCY;

D O I：

10.1016/j.jmva.2010.09.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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

引用

页码：349 / 362

页数：14

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