Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models
✍ Scribed by Shijie Chen; Kanchan Mukherjee
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 120 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0167-7152
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✦ Synopsis
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 ÿrst nonzero index of the Laguerre polynomial expansion of a class of indicator functions of the error random variables.