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

CNRS LTCI
Toulouse School of Economics
Boston University
Universidade Federal do Espírito Santo

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

19 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	59-71
Nombre de pages	13
journal	Statistics
Volume	45
Numéro de publication	1
Les DOIs	https://doi.org/10.1080/02331888.2011.539442
état	Publié - 1 févr. 2011
Modification externe	Oui

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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.",

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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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DO - 10.1080/02331888.2011.539442

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

Résumé

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