Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance

DOI10.1214/18-EJS1390zbMATH Open1473.62320OpenAlexW2792079416MaRDI QIDQ1746546FDOQ1746546

Authors: Rongning Wu, Yunwei Cui 

Publication date: 25 April 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1520413266

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zbMATH Keywords

asymptoticsestimationfinancial datainfinite varianceautoregressive process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Convex Analysis
• Limit theory for the sample covariance and correlation functions of moving averages
• M-estimation for autoregression with infinite variance
• Least absolute deviation estimation for regression with ARMA errors
• Title not available (Why is that?)
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Least tail-trimmed squares for infinite variance autoregressions
• Diagnostic tests for non-causal time series with infinite variance

Cited In (5)

• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Regularization and variable selection for infinite variance autoregressive models
• M-estimation for autoregression with infinite variance
• Title not available (Why is that?)
• Least tail-trimmed squares for infinite variance autoregressions

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