Chen, Shijie and Mukherjee, Kanchan (1999) Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. Statistics and Probability Letters, 44 (2). pp. 137-146. ISSN 0167-7152
Full text not available from this repository.Abstract
In this paper, we discuss an asymptotic distributional theory of three broad classes of robust estimators of the regression parameter namely, L-, M- and R-estimators in a linear regression model when the errors are generated by an exponentially subordinated strongly dependent process. The results are obtained as a consequence of an asymptotic uniform Taylor-type expansion of certain randomly weighted empirical processes. The limiting distributions of the estimators are nonnormal and depend on the rst nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.