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The asymptotic distribution of a class of L-estimators under long range dependence

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The asymptotic distribution of a class of L-estimators under long range dependence. / Mukherjee, Kanchan.
In: Canadian Journal of Statistics, Vol. 27, No. 2, 06.1999, p. 345-360.

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

Harvard

Mukherjee, K 1999, 'The asymptotic distribution of a class of L-estimators under long range dependence', Canadian Journal of Statistics, vol. 27, no. 2, pp. 345-360. https://doi.org/10.2307/3315644

APA

Mukherjee, K. (1999). The asymptotic distribution of a class of L-estimators under long range dependence. Canadian Journal of Statistics, 27(2), 345-360. https://doi.org/10.2307/3315644

Vancouver

Mukherjee K. The asymptotic distribution of a class of L-estimators under long range dependence. Canadian Journal of Statistics. 1999 Jun;27(2):345-360. doi: 10.2307/3315644

Author

Mukherjee, Kanchan. / The asymptotic distribution of a class of L-estimators under long range dependence. In: Canadian Journal of Statistics. 1999 ; Vol. 27, No. 2. pp. 345-360.

Bibtex

@article{270069dfa0f9416fb9fade3fffe0c677,
title = "The asymptotic distribution of a class of L-estimators under long range dependence",
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. ",
keywords = "Regression quantiles, L-estimator, long-range dependence",
author = "Kanchan Mukherjee",
year = "1999",
month = jun,
doi = "10.2307/3315644",
language = "English",
volume = "27",
pages = "345--360",
journal = "Canadian Journal of Statistics",
issn = "0319-5724",
publisher = "Statistical Society of Canada",
number = "2",

}

RIS

TY - JOUR

T1 - The asymptotic distribution of a class of L-estimators under long range dependence

AU - Mukherjee, Kanchan

PY - 1999/6

Y1 - 1999/6

N2 - 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.

AB - 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.

KW - Regression quantiles

KW - L-estimator

KW - long-range dependence

U2 - 10.2307/3315644

DO - 10.2307/3315644

M3 - Journal article

VL - 27

SP - 345

EP - 360

JO - Canadian Journal of Statistics

JF - Canadian Journal of Statistics

SN - 0319-5724

IS - 2

ER -