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

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Least tail-trimmed squares for infinite variance autoregressions

scientific article; zbMATH DE number 6214213

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English	Least tail-trimmed squares for infinite variance autoregressions	scientific article; zbMATH DE number 6214213

Statements

instance of

scholarly article

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title

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

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author

Jonathan B. Hill

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published in

Journal of Time Series Analysis

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publication date

9 October 2013

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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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cites work

The multivariate least-trimmed squares estimator

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Linear prediction of ARMA processes with infinite variance

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Estimators for the linear regression model based on Winsorized observations

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General trimmed estimation: robust approach to nonlinear and limited dependent variable models

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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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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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Q3771297

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

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Identifiers

zbMATH Open document ID

1273.62064

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2852489