Asymptotic expansion of \(M\)-estimators with long-memory errors

DOI10.1214/AOS/1031833675zbMath0885.62101OpenAlexW1971715877MaRDI QIDQ1359427

Hira L. Koul, Donatas Surgailis

Publication date: 23 April 1998

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1031833675

zbMATH Keywords

Appell polynomialssecond order efficiencymoving average errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (28)

Sign tests for long-memory time series ⋮ Asymptotics of empirical processes of long memory moving averages with infinite variance. ⋮ On weighted \(U\)-statistics for stationary processes. ⋮ Comparing two nonparametric regression curves in the presence of long memory in covariates and errors ⋮ Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular ⋮ \(M\)-estimation of wavelet variance ⋮ Asymptotics of \(M\)-estimators in non-linear regression with long memory designs. ⋮ Empirical process of residuals for regression models with long memory errors ⋮ Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum ⋮ Residual empirical processes for long and short memory time series ⋮ Empirical process of long-range dependent sequences when parameters are estimated ⋮ REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS ⋮ Long-range dependence and Appell rank ⋮ Second-order behavior of M-estimators in linear regression with long-memory errors ⋮ Stable limits of empirical processes of moving averages with infinite variance. ⋮ Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors ⋮ Stable limits of sums of bounded functions of long memory moving averages with finite variance ⋮ ON M‐Estimation Under Long‐Range Dependence in Volatility ⋮ A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue ⋮ Second-order asymptotic expansion for a non-synchronous covariation estimator ⋮ On location estimation for LARCH processes ⋮ Residual empirical processes for nearly unstable long-memory time series ⋮ Whittle estimator for finite-variance non-Gaussian time series with long memory ⋮ Polynomial Trend Regression With Long‐memory Errors ⋮ Regression model fitting with long memory errors ⋮ On Koul's minimum distance estimators in the regression models with long memory moving averages. ⋮ Convergence of normalized quadratic forms ⋮ Central limit theorem for the empirical process of a linear sequence with long memory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Noncentral limit theorems and Appell polynomials
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Asymptotic normality of regression estimators with long memory errors
• M-estimators in linear models with long range dependent errors
• A representation for self-similar processes
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• On the asymptotic expansion of the empirical process of long-memory moving averages
• M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
• Convergence of integrated processes of arbitrary Hermite rank

This page was built for publication: Asymptotic expansion of \(M\)-estimators with long-memory errors