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
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
ISSN: 03195724
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

checked on Jan 27, 2022

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.