Large sample behaviour of some well-known robust estimators under long-range dependence

被引：19

作者：

Levy-Leduc, C. ^{[1
]}

Boistard, H. ^{[2
]}

Moulines, E. ^{[1
]}

Taqqu, M. S. ^{[3
]}

Reisen, V. A. ^{[4
]}

机构：

[1] Telecom Paris Tech, CNRS, LTCI, F-75634 Paris 13, France

[2] Univ Toulouse 1, GREMAQ, Toulouse Sch Econ, F-31000 Toulouse, France

[3] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA

[4] Univ Fed Espirito Santo, Dept Estat, Vitoria Es, Brazil

来源：

STATISTICS | 2011年 / 45卷 / 01期

关键词：

long-range dependence; U-process; Hodges-Lehmann location estimator; Bickel-Shamos scale estimator; Croux-Rousseeuw scale estimator; Ma-Genton autocovariance estimator;

D O I：

10.1080/02331888.2011.539442

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper concerns robust location and scale estimators under long-range dependence, focusing on the Hodges-Lehmann location estimator, on the Shamos-Bickel scale estimator and on the Rousseeuw-Croux scale estimator. The large sample properties of these estimators are reviewed. This paper includes computer simulation in order to examine how well the estimators perform at finite sample sizes.

引用

页码：59 / 71

页数：13

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