The robust estimation of autoregressive processes by functional least squares

DOI10.2307/3213586zbMath0524.62087OpenAlexW2326651466MaRDI QIDQ3036533

C. R. Heathcote, A. H. Welsh

Publication date: 1983

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213586

zbMATH Keywords

weak convergencesimulationminimum variancerobust estimationordinary least squaresuniform consistencyfunctional least squaresstationary autoregressive modellong-tailed error distribution

Mathematics Subject Classification ID

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

Related Items (6)

Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes ⋮ Multivariate functional least squares ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers ⋮ Implementing empirical characteristic function procedures

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