M-estimators in linear models with long range dependent errors

DOI10.1016/0167-7152(92)90079-KMaRDI QIDQ1198999zbMATH OpenFDO

Authors Hira L. Koul

Publication date 16 January 1993

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitylinear modelGaussian processpolynomialsHermite rankleast squares estimatorlinearitynon-normalitylong range dependence\(M\)-estimatorsymmetric errorsdependent errorsnon- random designsskew symmetric scoresstationary mean zero random vector process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Behavior of robust estimators in the regression model with dependent errors
• Fractional differencing
• Multiple stochastic integrals with dependent integrators
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• On estimation of a regression model with long-memory stationary errors
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance
• Robust Statistics
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(39)

• Estimation of the dependence parameter in linear regression with long-range-dependent errors
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Asymptotic properties for M-estimators in linear models with dependent random errors
• Polynomial Trend Regression With Long‐memory Errors
• On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
• Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum
• Asymptotic properties of \(M\)-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
• Robust estimators in nonlinear regression models with long-range dependence
• Contrasts under long-range correlations
• On location estimation for LARCH processes
• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Time series regression with long-range dependence
• A mote on mle's in linear models with non-normal or dependent errors
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• Bahadur representations of M-estimators and their applications in general linear models
• Moderate deviations for M-estimators in linear models with \(\phi\)-mixing errors
• LINEARIZATION OF RANDOMLY WEIGHTED EMPIRICALS UNDER LONG RANGE DEPENDENCE WITH APPLICATIONS TO NONLINEAR REGRESSION QUANTILES
• Non-parametric estimation under strong dependence
• Semiparametric analysis of long-range dependence in nonlinear regression
• Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
• Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors
• Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs
• Asymptotic behavior of M-estimators in continuous-time non-linear regression with long-range dependent errors
• The smoothing dichotomy in nonparametric regression under long‐memory errors
• Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
• An \(M\)-estimator for the long-memory parameter
• Robust estimation in parametric time series models under long- and short-range-dependent structures
• \(M\)-periodogram for the analysis of long-range-dependent time series
• Local linear regression estimation for time series with long-range dependence
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• \(M\)-estimation of linear models with dependent errors
• Efficient location and regression estimation for long range dependent regression models
• Second-order behavior of M-estimators in linear regression with long-memory errors
• Asymptotic normality of regression estimators with long memory errors
• One‐step M‐estimators in the linear model, with dependent errors
• ON M‐Estimation Under Long‐Range Dependence in Volatility
• Minimum distance estimation in linear models with long-range dependent errors
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors

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