Bahadur-Kiefer representations for GM-estimators in autoregression models

DOI10.1016/0304-4149(95)00008-UzbMath0817.62077MaRDI QIDQ1890719

Zhiwei Zhu, Hira L. Koul

Publication date: 23 May 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00008-u

zbMATH Keywords

rate of convergence; least absolute deviation; strong consistency; autoregression; score function; least square; Freedman inequality; generalized \(M\)-estimators; Bahadur-Kiefer type representations; Huber \((k)\) estimators

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Robust goodness-of-fit tests for \(\text{AR} (p)\) models based on \(L_1\)-norm fitting, Robust estimation of nonlinear regression with autoregressive errors., Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model, Strong convergence of estimators in nonlinear autoregressive models

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