M-estimators in linear models with long range dependent errors
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The author considers the linear model \(Y_ i=X_ i'\beta+\varepsilon_ i\), where \(\{Y_ i\}\) is an observable process, \(X_ i'=(1,\xi_ i')\), is an observable \(p\times 1\) stationary mean zero random vector process, \(\beta\) is an unknown constant vector and \(\{\varepsilon_ i\}\) is a measurable transformation of a strictly stationary mean zero, unit variance Gaussian process \(\{\eta_ i\}\). He assumes long range dependence of \(\{\xi_ i\}\) and \(\{\eta_ i\}\) and considers an \(M\)- estimator \(\hat\beta_ N\) of \(\beta\). Under some conditions, he evaluates the asymptotic behavior of \(\hat\beta_ N-\beta\) and shows some formulas concerning asymptotics. The case of non-random designs is also mentioned.
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Cites work
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Cited in
(43)- Asymptotic normality of regression estimators with long memory errors
- Central limit theorem for the empirical process of a linear sequence with long memory
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Minimum distance estimation in linear models with long-range dependent errors
- Time series regression with long-range dependence
- Asymptotic expansion of \(M\)-estimators with long-memory errors
- Asymptotics of M-estimators in non-linear regression with long memory designs.
- Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
- On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
- Local linear regression estimation for time series with long-range dependence
- Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum
- Moderate deviations for M-estimators in linear models with -mixing errors
- Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
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- Estimation of the dependence parameter in linear regression with long-range-dependent errors
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- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
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- On location estimation for LARCH processes
- On Koul's minimum distance estimators in the regression models with long memory moving averages.
- Robust estimation in parametric time series models under long- and short-range-dependent structures
- Non-parametric estimation under strong dependence
- Asymptotic properties of M-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
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- Asymptotic behavior of M-estimators in continuous-time non-linear regression with long-range dependent errors
- ON M‐Estimation Under Long‐Range Dependence in Volatility
- Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
- Polynomial Trend Regression With Long‐memory Errors
- Second-order behavior of M-estimators in linear regression with long-memory errors
- Contrasts under long-range correlations
- Resampling method for generalized one-per-stratum sampling designs
- Threshold estimation under strong dependence
- Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors
- Bahadur representations of M-estimators and their applications in general linear models
- \(M\)-estimation of linear models with dependent errors
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