Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models

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

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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.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Probability Letters
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
65673
Deposited By:
Deposited On:
15 Jul 2013 09:11
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Apr 2020 02:32