Self-similarity and heavy tails: structural modeling of network traffic
A practical guide to heavy tails
On estimating the intensity of long-range dependence in finite and infinite variance time series
A practical guide to heavy tails
Simulating sample paths of linear fractional stable motion
IEEE Transactions on Information Theory
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We consider the robust estimation of regression parameters in linear models with long memory and heavy-tailed errors. Asymptotic Bahadur-type representations of robust estimates are developed and their limiting distributions are obtained. It is shown that the limiting distributions are very different from those obtained under short memory. A simulation study is carried out to compare the performance of various asymptotic representations.