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

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

Article published in Statistics, vol. 45, n. 1, p. 59–71, 2011.
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The 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. The paper includes computer simulation in order to examine how well the estimators perform at finite sample sizes.