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ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES

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Summary

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: M-estimation; asymptotic normality; consistency; linear regression models; long-range dependence; α-mixing

Document Type: Research Article

Publication date: June 1, 2009

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