Research output: Contribution to journal › Article › peer-review
Journal | Metrika |
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Date | Published - Nov 2007 |
Issue number | 3 |
Volume | 66 |
Number of pages | 15 |
Pages (from-to) | 289-303 |
Original language | English |
The asymptotic behavior of S-estimators in a random design linear model with long-range-dependent Gaussian errors is considered. It turns out that the S-estimators of regression parameter and error variance are strongly consistent under mild conditions. Furthermore, the asymptotic distribution of the S-estimator of regression parameter is normal if the design vectors are i.i.d. and is non-normal if the design vectors are long-range dependent Gaussian vectors. We also show that the asymptotic distribution of S-estimator of the error variance is non-normal since the errors are long-range dependent.
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