On linear models with long memory and heavy-tailed errors

Zhou Zhou and Wei Biao Wu

Journal of Multivariate Analysis, 2011, vol. 102, issue 2, 349-362

Abstract: We consider the robust estimation of regression parameters in linear models with long memory and heavy-tailed errors. Asymptotic Bahadur-type representations of robust estimates are developed and their limiting distributions are obtained. It is shown that the limiting distributions are very different from those obtained under short memory. A simulation study is carried out to compare the performance of various asymptotic representations.

Keywords: Bahadur; representation; Heavy; tails; Long; memory; M-estimation (search for similar items in EconPapers)
Date: 2011
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