Least absolute deviation estimation for regression with ARMA errors

DOI10.1023/A:1022620818679MaRDI QIDQ1368998zbMATH OpenOpenAlexFDO

Authors Richard A. Davis, William T. M. Dunsmuir

Publication date 7 October 1997

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1022620818679

zbMATH Keywords

ARMA processasymptotic normalitycentral limit theoremleast absolute deviation estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• The limiting behavior of least absolute deviation estimators for threshold autoregressive models
• Prediction in several conventional contexts
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• Spatial quantile estimation of multivariate threshold time series models
• Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms
• \(L_1\)-estimation for the location parameters in stochastic volatility models
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• Approximating volatilities by asymmetric power GARCH functions
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Weighted least absolute deviations estimation for ARMA models with infinite variance
• Estimation and tests for power-transformed and threshold GARCH models
• Least absolute deviation estimation for general ARMA time series models with infinite variance
• Characterization of the LAD (L/sub 1/) AR parameter estimator when applied to stationary ARMA, MA, and higher order AR processes
• Least absolute deviation estimation for general autoregressive moving average time-series models
• Weighted quantile regression for AR model with infinite variance errors
• The global weighted lad estimators for finite/infinite variance ARMA(p,q) models
• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• scientific article; zbMATH DE number 4143242 (Why is no real title available?)
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• Shrinkage estimation for linear regression with ARMA errors
• Asymptotics ofL₁-Estimators in Moving Average Time Series Models
• Unit roots in moving averages beyond first order
• Least absolute value regression: recent contributions
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• LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS
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• A least absolute deviation local linear algorithm based on a semiparameteric regression model
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• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Laplace's method and BIC model selection for least absolute value criterion
• A new estimator for LARCH processes
• On estimation of nonparametric regression models with autoregressive and moving average errors
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• A new RCAR(1) model based on explanatory variables and observations
• Asymptotics for the conditional self-weighted M estimator of GRCA(p) models and its statistical inference
• Asymptotic properties of the global self-weighted M-estimator for ARMA( p , q ) models with infinite variance
• Shrinkage estimation of linear regression models with ARIMA errors and applications to Canadian crime rates data
• Least absolute error estimation in the presence of serial correlation

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