Mukherjee, Kanchan (1999) The asymptotic distribution of a class of L-estimators under long range dependence. Canadian Journal of Statistics, 27 (2). pp. 345-360. ISSN 0319-5724
Full text not available from this repository.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.