Authors: Sibbertsen, Philipp
Title: S - estimators in the linear regression model with long - memory error terms
Language (ISO): en
Abstract: We investigate the behaviour of S - estimators in the linear regression model, when the error terms are long - memory Gaussian processes. It turns out that under mild regularity conditions S - estimators are still normally distributed with a similar variance - covariance structure as in the i.i.d. case. This assertion holds for the parameter estimates as well as for the scale estimates. Also the rate of convergence is for S - estimators the same as for the least squares estimator and for the BLUE.
Subject Headings: linear regression model
long - range dependence
Issue Date: 1998
Provenance: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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