The S-Estimator in Change-Point Random Model with Long Memory
Statistics Theory
2009-06-10 v1 Methodology
Statistics Theory
Abstract
The paper considers two-phase random design linear regression models. The errors and the regressors are stationary long-range dependent Gaussian. The regression parameters, the scale parameters and the change-point are estimated using a method introduced by Rousseeuw and Yohai(1984). This is called S-estimator and it has the property that is more robust than the classical estimators; the outliers don't spoil the estimation results. Some asymptotic results, including the strong consistency and the convergence rate of the S-estimators, are proved.
Cite
@article{arxiv.0906.1710,
title = {The S-Estimator in Change-Point Random Model with Long Memory},
author = {Gabriela Ciuperca},
journal= {arXiv preprint arXiv:0906.1710},
year = {2009}
}