Least tail-trimmed squares for infinite variance autoregressions (Q2852489)

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Language	Label	Description	Also known as
English	Least tail-trimmed squares for infinite variance autoregressions	scientific article

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scholarly article

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Least tail-trimmed squares for infinite variance autoregressions (English)

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zbMATH Open document ID

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10.1111/jtsa.12005

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Jonathan B. Hill

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Journal of Time Series Analysis

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publication date

9 October 2013

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

least squares

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tail trimming

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heavy tails

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robust inference

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/jtsa.12005

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The multivariate least-trimmed squares estimator

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On convergence of LAD estimates in autoregression with infinite variance

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Estimation in Random Coefficient Autoregressive Models

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Regular variation of GARCH processes.

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Generalized autoregressive conditional heteroscedasticity

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Extremes of stochastic volatility models

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Linear prediction of ARMA processes with infinite variance

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MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

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TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

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GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS

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Consistency for least squares regression estimators with infinite variance data

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Regular variation of order 1 nonlinear AR-ARCH models

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What portion of the sample makes a partial sum asymptotically stable or normal?

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Gauss-Newton and M-estimation for ARMA processes with infinite variance

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Limit theory for the sample covariance and correlation functions of moving averages

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Limit theory for bilinear processes with heavy-tailed noise

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M-estimation for autoregression with infinite variance

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Uniform Central Limit Theorems

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Limit distributions for linear programming time series estimators

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Pitfalls of fitting autoregressive models for heavy-tailed time series

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Some limit theorems for empirical processes (with discussion)

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Least absolute deviation estimates in autoregression with infinite variance

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Sums, Trimmed sums and extremes

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Prediction and nonparametric estimation for time series with heavy tails

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Autoregressive processes with infinite variance

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A simple general approach to inference about the tail of a distribution

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On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation

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ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

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Extremal memory of stochastic volatility with an application to tail shape inference

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TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS

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Random difference equations and renewal theory for products of random matrices

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RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

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Structural Vector Autoregressions With Nonnormal Residuals

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Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

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ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES

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Simulation and the Asymptotics of Optimization Estimators

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WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE

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On the asymptotic normality of sequences of weak dependent random variables

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Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation

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Some mixing properties of time series models

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Convergence of stochastic processes

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Symmetrically Trimmed Least Squares Estimation for Tobit Models

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Heavy tail modeling and teletraffic data. (With discussions and rejoinder)

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Asymptotic behavior of hill's estimator for autoregressive data

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Consistent Nonparametric Entropy-Based Testing

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One-dimensional linear recursions with Markov-dependent coefficients

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Least Median of Squares Regression

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Trimmed Least Squares Estimation in the Linear Model

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The influence functions for the least trimmed squares and the least trimmed absolute deviations estimators

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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

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THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(<i>p</i>,<i>q</i>) MODELS

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Mathematics(1 entry)

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