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S-estimators in the linear regression model with long-memory error terms

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  • Sibbertsen, Philipp

Abstract

We investigate the behaviour of S - estimators in the linear regression model, when the error terms are long-memory Gaussian processes. It turns out that under mild regularity conditions S - estimators are still normally distributed with a similar variance - covariance structure as in the i.i.d - case. This assertion holds for the parameter estimates as well as for the scale estimates. Also the rate of convergence is for S - estimators the same as for the least squares estimator and for the BLUE.

Suggested Citation

  • Sibbertsen, Philipp, 1998. "S-estimators in the linear regression model with long-memory error terms," Technical Reports 1998,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199833
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