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https://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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