M-estimation of linear models with dependent errors
By Wei Biao Wu. 2004
112 citations recorded by the source corpus.
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.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/ac3ce6c16f0dcec66eb75cc263d3f047efbf3b05
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In Finance
- Andreas Hagemann
- Rainer Dahlhaus
- Stefan Richter
- Lixing Zhu
- Heng Peng
- Gaorong Li
- Ta‐Hsin Li
- Wei Biao Wu
In Statistics and Probability
- Gaorong Li
- Andreas Hagemann
- Lixing Zhu
- Rainer Dahlhaus
- Heng Peng
- Ta‐Hsin Li
- Stefan Richter
- Wei Biao Wu
Citations in the corpus
- Laplace Periodogram for Time Series Analysis (2008, background): “This type of results can be established under various conditions (Arcones 2001; Bantli and Hallin 1999; Bloomfield and Steiger 1983; Davis and Dunsmuir 1997; Koenker 2005; Lai and Lee 2005; Pollard 1991; Portnoy 1991; Weiss 1990; Wu 2007).”
- Towards a general theory for nonlinear locally stationary processes (2017, background): “, and Wu, W.B. (2009)): Given parameter curves a1, a2 : [0, 1] ! R, define X t,n = a1 t n X t 1,n + a2 t n X t 1,n + "t, where x+ := max{x, 0} and x := max{ x, 0}. (iv) the time-varying random coefficient model (cf. Subba Rao, S. (2006)): With some parameter functions a i (·), i = 0, .”
- NONCONCAVE PENALIZED M-ESTIMATION WITH A DIVERGING NUMBER OF PARAMETERS (2011, methodology): “Conditions (C1)–(C2) are standardly it imposed in the M-estimation theory of linear models; for examples, see Bai, Rao, and Wu (1992) and Wu (2007). Condition (C3) is a classical condition that has been assumed in the linear model literature. Condition (C4) can be found in Portnoy (1985). Condition ”
- Robust Spectral Analysis (2011, background): “The GMC property then follows since ut is GMC by Theorem 5.2 of Shao and Wu (2007).”