S-estimation in the nonlinear regression model with long-memory error terms

Philipp Sibbertsen

No 1999,36, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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 i.i.d 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 n1-h , ½

Keywords: Nonlinear regression model; long - range dependence; robustness (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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