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|Scopus||Web of Science®||Altmetric|
|Title:||Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors|
|Citation:||Metrika, 2007; 66(3):289-303|
|Publisher:||Physica-verlag GMBH & Co|
|Lin Zhengyan, Li Degui and Chen Jia|
|Abstract:||The asymptotic behavior of S-estimators in a random design linear model with long-range-dependent Gaussian errors is considered. It turns out that the S-estimators of regression parameter and error variance are strongly consistent under mild conditions. Furthermore, the asymptotic distribution of the S-estimator of regression parameter is normal if the design vectors are i.i.d. and is non-normal if the design vectors are long-range dependent Gaussian vectors. We also show that the asymptotic distribution of S-estimator of the error variance is non-normal since the errors are long-range dependent.|
|Keywords:||Asymptotic distribution; Consistency; Linear model; Long-range dependence; S-estimator|
|Appears in Collections:||Economics publications|
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