Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/105408
Title: The asymptotic behaviour of a class of L-estimators under long-range dependence
Authors: Mukherjee, K. 
Keywords: L-estimator
Long-range dependence
Regression quantiles
Issue Date: Jun-1999
Citation: Mukherjee, K. (1999-06). The asymptotic behaviour of a class of L-estimators under long-range dependence. Canadian Journal of Statistics 27 (2) : 345-360. ScholarBank@NUS Repository.
Abstract: This paper obtains asymptotic representations of a class of L-estimators in a linear regression model when the errors are a function of long-range-dependent Gaussian random variables. These representations are then used to address some of the efficiency robustness properties of L-estimators compared to the least-squares estimator. It is observed that under the Gaussian error distribution, each member of the class has the same asymptotic efficiency as that of the least-squares estimator. The results are obtained as a consequence of the asymptotic uniform linearity of some weighted empirical processes based on long-range-dependent random variables.
Source Title: Canadian Journal of Statistics
URI: http://scholarbank.nus.edu.sg/handle/10635/105408
ISSN: 03195724
Appears in Collections:Staff Publications

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