Authors: Sibbertsen, Philipp
Title: S-estimation in the nonlinear regression model with long-memory error terms
Language (ISO): en
Abstract: In this paper we consider the asymptotic distribution of S-estimators in the nonlinear regression model with long-memory error terms. S-estimators are robust estimates with a high breakdown point and good asymptotic properties in the iid case. They are constructed for linear regression. In the nonlinear regression model with long-memory errors it turns out, that S-estimators are asymptotically normal with a rate of convergence of n^1-H , 1/2<H<1. But the distribution depends heavily on the unknown parameter vector.
Subject Headings: long-range dependence
nonlinear regression model
robustness
URI: http://hdl.handle.net/2003/4923
http://dx.doi.org/10.17877/DE290R-5408
Issue Date: 1999
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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