Multivariate functional least squares

DOI10.1016/0047-259X(88)90152-2zbMath0668.62034MaRDI QIDQ1118293

A. H. Welsh, C. R. Heathcote

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

weak convergenceadaptive estimatorstrong uniform consistencymultivariate regression modelmultivariate autoregressive processesasymmetric marginal distributionsfunctional least squareslimiting covariance matrixrobust large sample method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ A comparative study of some robust methods for coefficient-estimation in linear regression ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

Cites Work

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• Limit behaviour of the empirical characteristic function
• Weak convergence of the empirical characteristic function
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• A class of multivariate symmetric stable distributions
• Testing for linearity
• The robust estimation of autoregressive processes by functional least squares
• An angular approach for linear data
• Arbitrary hypotheses in linear mod fi.S with unbalanced data
• On the estimation of slope and the identification of outliers in linear regression

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