We study asymptotic properties of M-estimates of regression parameters in linear models in which errors are dependent. Weak and strong Bahadur representations of the M-estimates are 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 nonlinear time series.
Publié le : 2007-04-14
Classification:
Robust estimation,
linear model,
dependence,
nonlinear time series,
62J05,
60F05
@article{1183667282,
author = {Wu, Wei Biao},
title = {M-estimation of linear models with dependent errors},
journal = {Ann. Statist.},
volume = {35},
number = {1},
year = {2007},
pages = { 495-521},
language = {en},
url = {http://dml.mathdoc.fr/item/1183667282}
}
Wu, Wei Biao. M-estimation of linear models with dependent errors. Ann. Statist., Tome 35 (2007) no. 1, pp. 495-521. http://gdmltest.u-ga.fr/item/1183667282/