Robust Regression on Stationary Time Series: A Self-Normalized Resampling Approach

Fumiya Akashi, Shuyang Bai, Murad S. Taqqu*

*この研究の対応する著者

研究成果: Article査読

抄録

This article extends the self-normalized subsampling method of Bai et al. (2016) to the M-estimation of linear regression models, where the covariate and the noise are stationary time series which may have long-range dependence or heavy tails. The method yields an asymptotic confidence region for the unknown coefficients of the linear regression. The determination of these regions does not involve unknown parameters such as the intensity of the dependence or the heaviness of the distributional tail of the time series. Additional simulations can be found in a supplement. The computer codes are available from the authors.

本文言語English
ページ(範囲)417-432
ページ数16
ジャーナルJournal of Time Series Analysis
39
3
DOI
出版ステータスPublished - 2018 5 1

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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