On linear models with long memory and heavy-tailed errors |
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Authors: | Zhou Zhou Wei Biao Wu |
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Affiliation: | University of Toronto, Canada University of Chicago, United States |
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Abstract: | We consider the robust estimation of regression parameters in linear models with long memory and heavy-tailed errors. Asymptotic Bahadur-type representations of robust estimates are developed and their limiting distributions are obtained. It is shown that the limiting distributions are very different from those obtained under short memory. A simulation study is carried out to compare the performance of various asymptotic representations. |
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Keywords: | 62J05 60G18 60G51 |
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