Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models

Shijie Chen and Kanchan Mukherjee

Statistics & Probability Letters, 1999, vol. 44, issue 2, 137-146

Abstract: In this paper, we discuss an asymptotic distributional theory of three broad classes of robust estimators of the regression parameter namely, L-, M- and R-estimators in a linear regression model when the errors are generated by an exponentially subordinated strongly dependent process. The results are obtained as a consequence of an asymptotic uniform Taylor-type expansion of certain randomly weighted empirical processes. The limiting distributions of the estimators are nonnormal and depend on the first nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.

Keywords: Laguerre; expansion; L-; M-; and; R-estimators; Regression; quantiles; Weighted; empirical; processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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