Smoothed estimates for models with random coefficients and infinite variance innovations

DOI10.1016/S0895-7177(04)90512-2MaRDI QIDQ1765004zbMATH OpenFDO

Authors A. Thavaneswaran, Shelton Peiris

Publication date 22 February 2005

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0895-7177(04)90512-2

zbMATH Keywords

AutoregressiveDispersionHeavy tailsInfinite varianceLeast absolute deviationRandom coefficientsSmoothed estimatesStable distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• An Optimum Property of Regular Maximum Likelihood Estimation
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• Estimation for regression with infinite variance errors
• Estimation in nonlinear time series models
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• Inference for some time series models with random coefficients and infinite variance innovations
• Nonparametric estimation for some nonlinear models
• Prediction via estimating functions
• The foundations of finite sample estimation in stochastic processes
• The Kernel Estimate of a Regression Function in Likelihood-Based Models
• The Stability of Random Coefficient Autoregressive Models

Cited in

(5)

• Estimation for regression with infinite variance errors
• Recursive estimation for regression with infinite variance fractional ARIMA noise
• Random autoregressive models: a structured overview
• Standard errors and covariance matrices for smoothed rank estimators
• Inference for some time series models with random coefficients and infinite variance innovations

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