On linear models with long memory and heavy-tailed errors
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- A Method for Simulating Stable Random Variables
- A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Asymptotic Theory of Least Absolute Error Regression
- Consistency of Hill's estimator for dependent data
- Fractional differencing
- Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
- M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
- M-estimation for linear models with spatially-correlated errors
- Parameter estimation for infinite variance fractional ARIMA
- Quantile regression.
- Robust Statistics
- Second order representations of the least absolute deviation regression estimator
- Simulating Sample Paths of Linear Fractional Stable Motion
- Stable Paretian models in finance
- Stable limits of empirical processes of moving averages with infinite variance.
- Strong representations for LAD estimators in linear models
- Subsampling
- The behavior of robust estimators on dependent data
- \(M\)-estimation of linear models with dependent errors
Cited in
(13)- A tail index estimation for long memory processes
- Inference in heavy-tailed vector error correction models
- Bahadur representations of M-estimators and their applications in general linear models
- Detection and estimation of structural change in heavy-tailed sequence
- On robust tail index estimation for linear long-memory processes
- Long memory process and heavy-tailed distribution
- Asymptotic distributions of some scale estimators in nonlinear models with long memory errors having infinite variance
- \(S\)-estimation in the linear regression model with long-memory error terms under trend
- Robust estimation in parametric time series models under long- and short-range-dependent structures
- Simultaneous quantile inference for non-stationary long-memory time series
- Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
- Robust estimation for continuous-time linear models with memory
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
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