On linear models with long memory and heavy-tailed errors (Q618159)

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English	On linear models with long memory and heavy-tailed errors	scientific article

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scholarly article

On linear models with long memory and heavy-tailed errors (English)

Journal of Multivariate Analysis

publication date

14 January 2011

zbMATH Keywords

Bahadur representation

heavy tails

long memory

\(M\)-estimation

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jmva.2010.09.009

Second order representations of the least absolute deviation regression estimator

Strong representations for LAD estimators in linear models

Asymptotic Theory of Least Absolute Error Regression

M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations

A Method for Simulating Stable Random Variables

M-estimation for linear models with spatially-correlated errors

Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions

The behavior of robust estimators on dependent data

A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs

Fractional differencing

Robust Statistics

Parameter estimation for infinite variance fractional ARIMA

Stable limits of empirical processes of moving averages with infinite variance.

Consistency of Hill's estimator for dependent data

Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$

\(M\)-estimation of linear models with dependent errors

Simulating Sample Paths of Linear Fractional Stable Motion

Identifiers

zbMATH Open document ID

10.1016/j.jmva.2010.09.009

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:618159

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