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|Title:||The asymptotic behaviour of a class of L-estimators under long-range dependence|
|Source:||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|
|Appears in Collections:||Staff Publications|
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