Robust Estimators in Non-linear Regression Models with Long-Range Dependence

DOI10.1007/978-0-387-79936-0_9zbMath1192.62041OpenAlexW2103009785MaRDI QIDQ3567635

Nikolai N. Leonenko, Alexander V. Ivanov

Publication date: 17 June 2010

Published in: Optimal Design and Related Areas in Optimization and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-387-79936-0_9

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02)

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Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence ⋮ Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter ⋮ Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular ⋮ Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ Asymptotic expansion of the moments of correlogram estimator for the random-noise covariance function in the nonlinear regression model ⋮ The tenth Vilnius conference on probability theory and mathematical statistics. II ⋮ Estimation of harmonic component in regression with cyclically dependent errors

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