Least tail-trimmed squares for infinite variance autoregressions (Q2852489): Difference between revisions

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+The multivariate least-trimmed squares estimator
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+On convergence of LAD estimates in autoregression with infinite variance
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS
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+GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS
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+Consistency for least squares regression estimators with infinite variance data
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+Regular variation of order 1 nonlinear AR-ARCH models
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+What portion of the sample makes a partial sum asymptotically stable or normal?
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+Gauss-Newton and M-estimation for ARMA processes with infinite variance
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+Pitfalls of fitting autoregressive models for heavy-tailed time series
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Some limit theorems for empirical processes (with discussion)
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+Least absolute deviation estimates in autoregression with infinite variance
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+Sums, Trimmed sums and extremes
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Autoregressive processes with infinite variance
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+A simple general approach to inference about the tail of a distribution
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+On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
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+ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
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+Extremal memory of stochastic volatility with an application to tail shape inference
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+TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS
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+RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
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+Structural Vector Autoregressions With Nonnormal Residuals
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+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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+ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
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+Simulation and the Asymptotics of Optimization Estimators
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+WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
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+Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
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+Convergence of stochastic processes
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+Symmetrically Trimmed Least Squares Estimation for Tobit Models
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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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+Consistent Nonparametric Entropy-Based Testing
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+Least Median of Squares Regression
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+Trimmed Least Squares Estimation in the Linear Model
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+The influence functions for the least trimmed squares and the least trimmed absolute deviations estimators
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+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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+THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(<i>p</i>,<i>q</i>) MODELS
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