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 robustness |
URI: | http://hdl.handle.net/2003/4831 http://dx.doi.org/10.17877/DE290R-5407 |
Issue Date: | 1998 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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98_33.pdf | DNB | 166.12 kB | Adobe PDF | View/Open |
tr33-98.ps | 357.38 kB | Postscript | View/Open |
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