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

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.