Huber-Dutter estimation of linear models with dependent errors

Zhen Zeng and Feng Xu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 23, 8441-8455

Abstract: In this article, we investigate a linear model that incorporates stationary causal processes, with a focus on utilizing Huber-Dutter methods to investigate the estimators of unknown parameters and a scale for the errors. Our results indicate that the Huber-Dutter methods can effectively be utilized for linear models that feature errors, which are short-range dependent linear processes, heavy-tailed linear processes, as well as some commonly used non linear time series.

Date: 2024
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DOI: 10.1080/03610926.2023.2290980

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