Bahadur-Kiefer representations for GM-estimators in autoregression models
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Publication:1890719
DOI10.1016/0304-4149(95)00008-UzbMath0817.62077MaRDI QIDQ1890719
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
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
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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