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

C. Lévy-Leduc; H. Boistard; E. Moulines; M. S. Taqqu; V. A. Reisen

doi:10.1080/02331888.2011.539442

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

C. Lévy-Leduc
, H. Boistard
, E. Moulines
, M. S. Taqqu
, V. A. Reisen

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	59-71
Number of pages	13
Journal	Statistics
Volume	45
Issue number	1
DOIs	https://doi.org/10.1080/02331888.2011.539442
Publication status	Published - 1 Feb 2011
Externally published	Yes

Keywords

Bickel-shamos scale estimator
Croux-rousseeuw scale estimator
Hodges-lehmann location estimator
Long-range dependence
Ma-genton autocovariance estimator
U-process

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10.1080/02331888.2011.539442

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abstract = "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.",

keywords = "Bickel-shamos scale estimator, Croux-rousseeuw scale estimator, Hodges-lehmann location estimator, Long-range dependence, Ma-genton autocovariance estimator, U-process",

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AU - Reisen, V. A.

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AB - 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.

KW - Bickel-shamos scale estimator

KW - Croux-rousseeuw scale estimator

KW - Hodges-lehmann location estimator

KW - Long-range dependence

KW - Ma-genton autocovariance estimator

KW - U-process

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

Abstract

Keywords

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