Multivariate functional least squares

DOI10.1016/0047-259X(88)90152-2zbMATH Open0668.62034MaRDI QIDQ1118293FDOQ1118293

Authors: Christopher R. Heathcote, Alan H. Welsh 

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

weak convergencemultivariate regression modeladaptive estimatormultivariate autoregressive processesstrong uniform consistencyasymmetric marginal distributionsfunctional least squareslimiting covariance matrixrobust large sample method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Title not available (Why is that?)
• Limit behaviour of the empirical characteristic function
• Weak convergence of the empirical characteristic function
• Arbitrary hypotheses in linear mod fi.S with unbalanced data
• Title not available (Why is that?)
• Testing for linearity
• A class of multivariate symmetric stable distributions
• The robust estimation of autoregressive processes by functional least squares
• Title not available (Why is that?)
• On the estimation of slope and the identification of outliers in linear regression
• An angular approach for linear data

Cited In (7)

• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• A comparative study of some robust methods for coefficient-estimation in linear regression
• Title not available (Why is that?)
• Functional learning in signal processing via least squares
• Robust functional estimation in the multivariate partial linear model
• Multivariate autoregressive time series using Schweppe weighted Wilcoxon estimates
• WeightedL₁-estimates for a VAR(p) time series model

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