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April 2007 M-estimation of linear models with dependent errors
Wei Biao Wu
Ann. Statist. 35(2): 495-521 (April 2007). DOI: 10.1214/009053606000001406


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.


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Wei Biao Wu. "M-estimation of linear models with dependent errors." Ann. Statist. 35 (2) 495 - 521, April 2007.


Published: April 2007
First available in Project Euclid: 5 July 2007

zbMATH: 1117.62070
MathSciNet: MR2336857
Digital Object Identifier: 10.1214/009053606000001406

Primary: 62J05
Secondary: 60F05

Keywords: Dependence , linear model , nonlinear time series , robust estimation

Rights: Copyright © 2007 Institute of Mathematical Statistics

Vol.35 • No. 2 • April 2007
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