On linear models with long memory and heavy-tailed errors

DOI10.1016/J.JMVA.2010.09.009zbMATH Open1327.62416OpenAlexW2068614941MaRDI QIDQ618159FDOQ618159

Authors: Zhou Zhou, Wei Biao Wu 

Publication date: 14 January 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.09.009

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zbMATH Keywords

Bahadur representationheavy tailslong memory\(M\)-estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Linear regression; mixed models (62J05) Self-similar stochastic processes (60G18)

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Cited In (13)

• Bahadur representations of M-estimators and their applications in general linear models
• On robust tail index estimation for linear long-memory processes
• Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
• Asymptotic distributions of some scale estimators in nonlinear models with long memory errors having infinite variance
• Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
• Simultaneous quantile inference for non-stationary long-memory time series
• Inference in heavy-tailed vector error correction models
• Robust estimation in parametric time series models under long- and short-range-dependent structures
• A tail index estimation for long memory processes
• Robust estimation for continuous-time linear models with memory
• Detection and estimation of structural change in heavy-tailed sequence
• Long memory process and heavy-tailed distribution
• \(S\)-estimation in the linear regression model with long-memory error terms under trend

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