Robust estimation in parametric time series models under long- and short-range-dependent structures

DOI10.1111/J.1467-842X.2009.00537.XMaRDI QIDQ2810370zbMATH OpenFDO

Authors Degui Li, Zhengyan Lin, Jiti Gao

Publication date 1 June 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.2009.00537.X

zbMATH Keywords

\(\alpha\)-mixingasymptotic normalityconsistencylinear regression modelslong-range dependenceM-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A note on strong mixing of ARMA processes
• Asymptotic normality of regression estimators with long memory errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Behavior of robust estimators in the regression model with dependent errors
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• Robust Estimation of a Location Parameter
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• Time series regression with long-range dependence

Cited in

(10)

• Local polynomial \(M\)-estimation in random design regression with dependent errors
• An M-estimator for the long-memory parameter
• On the strong consistency of M-estimates in linear models for negatively superadditive dependent errors
• Parametric inference in stationary time series models with dependent errors
• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
• Large sample behaviour of some well-known robust estimators under long-range dependence
• Semi-parametric estimation of long-range dependence index in infinite variance time series.
• Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
• Huber-Dutter estimation of linear models with dependent errors

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