Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors (Q1326344)

This paper establishes the uniform closeness of a weighted residual empirical process to its natural estimate in the linear regression setting when the errors are Gaussian, or a function of Gaussian random variables, that are strictly stationary and long range dependent. This result is used to yield the asymptotic uniform linearity of a class of rank statistics in linear regression models with long range dependent errors. The latter result, in turn, yields the asymptotic distribution of the \textit{L. A. Jaeckel} rank estimators [Ann. Math. Stat. 43, 1449-1458 (1972; Zbl 0277.62049)]. The paper also studies the least absolute deviation and a class of certain minimum distance estimators of regression parameters and the kernel type density estimators of the marginal error density when the errors are long range dependent.