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Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models

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Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. / Chen, Shijie; Mukherjee, Kanchan.
In: Statistics and Probability Letters, Vol. 44, No. 2, 15.08.1999, p. 137-146.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Chen, S & Mukherjee, K 1999, 'Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models', Statistics and Probability Letters, vol. 44, no. 2, pp. 137-146. https://doi.org/10.1016/S0167-7152(98)00300-9

APA

Chen, S., & Mukherjee, K. (1999). Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. Statistics and Probability Letters, 44(2), 137-146. https://doi.org/10.1016/S0167-7152(98)00300-9

Vancouver

Chen S, Mukherjee K. Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. Statistics and Probability Letters. 1999 Aug 15;44(2):137-146. doi: 10.1016/S0167-7152(98)00300-9

Author

Chen, Shijie ; Mukherjee, Kanchan. / Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. In: Statistics and Probability Letters. 1999 ; Vol. 44, No. 2. pp. 137-146.

Bibtex

@article{1007eaeb7c694e31a766f5b0f715adb6,
title = "Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models",
abstract = "In this paper, we discuss an asymptotic distributional theory of three broad classes of robust estimators of the regression parameter namely, L-, M- and R-estimators in a linear regression model when the errors are generated by an exponentially subordinated strongly dependent process. The results are obtained as a consequence of an asymptotic uniform Taylor-type expansion of certain randomly weighted empirical processes. The limiting distributions of the estimators are nonnormal and depend on the rst nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.",
keywords = "Laguerre expansion, L-, M- and R-estimators, Regression quantiles , Weighted empirical processes",
author = "Shijie Chen and Kanchan Mukherjee",
year = "1999",
month = aug,
day = "15",
doi = "10.1016/S0167-7152(98)00300-9",
language = "English",
volume = "44",
pages = "137--146",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models

AU - Chen, Shijie

AU - Mukherjee, Kanchan

PY - 1999/8/15

Y1 - 1999/8/15

N2 - In this paper, we discuss an asymptotic distributional theory of three broad classes of robust estimators of the regression parameter namely, L-, M- and R-estimators in a linear regression model when the errors are generated by an exponentially subordinated strongly dependent process. The results are obtained as a consequence of an asymptotic uniform Taylor-type expansion of certain randomly weighted empirical processes. The limiting distributions of the estimators are nonnormal and depend on the rst nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.

AB - In this paper, we discuss an asymptotic distributional theory of three broad classes of robust estimators of the regression parameter namely, L-, M- and R-estimators in a linear regression model when the errors are generated by an exponentially subordinated strongly dependent process. The results are obtained as a consequence of an asymptotic uniform Taylor-type expansion of certain randomly weighted empirical processes. The limiting distributions of the estimators are nonnormal and depend on the rst nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.

KW - Laguerre expansion

KW - L-

KW - M- and R-estimators

KW - Regression quantiles

KW - Weighted empirical processes

U2 - 10.1016/S0167-7152(98)00300-9

DO - 10.1016/S0167-7152(98)00300-9

M3 - Journal article

VL - 44

SP - 137

EP - 146

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

IS - 2

ER -