Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence

DOI10.1080/03610926.2011.581178zbMath1315.62057MaRDI QIDQ2890087

Irina N. Savich, Alexander V. Ivanov

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581178

zbMATH Keywords

asymptotic normality; Hermite polynomials; long-range dependence; Hermite rank; Koenker-Bassett estimator; spectral measure of regression function

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M15: Inference from stochastic processes and spectral analysis

62J02: General nonlinear regression

Uses Software

• longmemo

Cites Work

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• Robust Statistics