Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
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Publication:1246986
DOI10.1214/AOS/1176343855zbMATH Open0378.62075OpenAlexW1977834487MaRDI QIDQ1246986FDOQ1246986
Authors: Ricardo Antonio Maronna, Victor J. Yohai
Publication date: 1977
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176343855
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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- Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
- The consistency of the L1norm estimates in arma models
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- A note on the asymptotic covariance matrix of the Yule-Walker estimator
- On convergence of LAD estimates in autoregression with infinite variance
- Consistency for least squares regression estimators with infinite variance data
- Multivariate functional least squares
- Estimation for first-order autoregressive processes with positive or bounded innovations
- Linear prediction of ARMA processes with infinite variance
- Spectral density estimation for stationary stable processes
- Limit distributions for linear programming time series estimators
- Modified tests for variance changes in autoregressive regression
- Subsampling tests for the mean change point with heavy-tailed innovations
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
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- Estimating linear representations of nonlinear processes
- NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
- Estimation for regression with infinite variance errors
- Parameter estimation for some time series models without contiguity
- STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS
- Limit theory and bootstrap for explosive and partially explosive autoregression
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