Please use this identifier to cite or link to this item:
|Title:||The asymptotic behaviour of a class of L-estimators under long-range dependence||Authors:||Mukherjee, K.||Keywords:||L-estimator
|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|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jan 27, 2022
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.