Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77362
Authors: 
Sibbertsen, Philipp
Year of Publication: 
1999
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1999,36
Abstract: 
In this paper we consider the asymptotic distribution of S -estimators in the nonlinear regression model with long-memory error terms. S - estimators are robust estimates with a high breakdown point and good asymptotic properties in the i.i.d case. They are constructed for linear regression. In the nonlinear regression model with long-memory errors it turns out. that S-estimators are asymptotically normal with a rate of convergence of n1-h , ½ < H < 1. But the distribution depends heavily on the unknown parameter vector.
Subjects: 
Nonlinear regression model
long - range dependence
robustness
Document Type: 
Working Paper

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