On linear models with long memory and heavy-tailed errors

DOI10.1016/j.jmva.2010.09.009zbMath1327.62416OpenAlexW2068614941MaRDI QIDQ618159

Zhou Zhou, Wei-Biao Wu

Publication date: 14 January 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.09.009

zbMATH Keywords

Bahadur representationheavy tailslong memory\(M\)-estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Linear regression; mixed models (62J05) Self-similar stochastic processes (60G18)

Related Items

Bahadur representations of M-estimators and their applications in general linear models, On robust tail index estimation for linear long-memory processes, Simultaneous quantile inference for non-stationary long-memory time series, Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors, Detection and estimation of structural change in heavy-tailed sequence, Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes

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