M-estimation of linear models with dependent errors
نویسندگان
چکیده
منابع مشابه
M-estimation of Linear Models with Dependent Errors
We study the asymptotic behavior of M -estimates of regression parameters in multiple linear models where errors are dependent random variables. A Bahadur representation of the M -estimates is derived and a central limit theorem is established. The results are applied to linear models with errors being short-range dependent linear processes, heavy-tailed linear processes and some widely used no...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2007
ISSN: 0090-5364
DOI: 10.1214/009053606000001406