The S-estimator in the change-point random model with long memory

DOI10.1080/02331888.2011.553683zbMath1316.62097arXiv0906.1710OpenAlexW2025053822MaRDI QIDQ3143500

Gabriela Ciuperca

Publication date: 30 November 2012

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1710

zbMATH Keywords

asymptotic propertieslong-memorychange-pointsS-estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Gaussian processes (60G15) Linear regression; mixed models (62J05) Applications of statistics to environmental and related topics (62P12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Asymmetric cusp estimation in regression models ⋮ Estimation of Parameters in the Joinpoint Two-Regime Regression Model

Cites Work

• Unnamed Item
• Unnamed Item
• Detection of multiple changes in a sequence of dependent variables
• The effect of long-range dependence on change-point estimators
• Testing for structural change in regression with long memory processes
• \(\tau\)-estimators of regression models with structural change of unknown location
• Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors
• Testing a sub-hypothesis in linear regression models with long memory covariates and errors.
• Efficient parameter estimation for self-similar processes
• Multiple stochastic integrals with dependent integrators
• Estimation of multiple-regime regressions with least absolutes deviation
• Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
• Long memory versus structural breaks: an overview
• Log-periodogram regression of time series with long range dependence
• Testing for structural change in a long-memory environment
• Semiparametric analysis of long-range dependence in nonlinear regression
• Asymptotics of M-estimators in two-phase linear regression models.
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Maximum likelihood estimator in a multi-phase random regression model
• Long‐Memory Time Series
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Change‐Point Estimation of Fractionally Integrated Processes
• Wavelet analysis of long-range-dependent traffic
• Multiscale detection and location of multiple variance changes in the presence of long memory
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• A General Qualitative Definition of Robustness