ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES |
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| Authors: | Jiti Gao Degui Li and Zhengyan Lin |
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| Institution: | University of Adelaide, University of Western Australia and Zhejiang University |
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| Abstract: | This paper studies the asymptotic behaviour of an M-estimator of regression parameters in the linear model when the design variables are either stationary short-range dependent (SRD), α-mixing or long-range dependent (LRD), and the errors are LRD. The weak consistency and the asymptotic distributions of the M-estimator are established. We present some simulated examples to illustrate the efficiency of the proposed M-estimation method. |
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| Keywords: | α-mixing asymptotic normality consistency linear regression models long-range dependence M-estimation |
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