\(M\)-estimation of linear models with dependent errors

DOI10.1214/009053606000001406zbMath1117.62070arXivmath/0412268OpenAlexW2158685529MaRDI QIDQ995413

Wei-Biao Wu

Publication date: 3 September 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0412268

zbMATH Keywords

nonlinear time seriesrobust estimationdependence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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Uses Software

• FinTS

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