L₁-estimation in linear models with heterogeneous white noise

DOI10.1016/S0167-7152(99)00072-3zbMATH Open0951.62051MaRDI QIDQ1808685FDOQ1808685

Authors: Faouzi El Bantli, Marc Hallin 

Publication date: 25 November 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalityheteroscedasticityheterogeneityL1-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Regression Quantiles
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• A Note on Order Statistics for Heterogeneous Distributions
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Asymptotic Normality of Sample Quantiles for $m$-Dependent Processes
• A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs
• Asymptotics for \(M\)-estimators defined by convex minimization
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
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• Consistency of \(M\)-estimates in general regression models
• Convergence of reduced empirical and quantile processes with application to functions of order statistics in the non-I.I.D. case
• Robustness of Some Nonparametric Procedures in Linear Models
• The Effect of Sample Heterogeneity on Linear Functions of Order Statistics, with Applications to Robust Estimation
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Cited In (13)

• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• The bias and skewness of \(L_ 1\)-estimates in regression
• Sample heterogeneity and M-estimation
• Unbiased L₁and L_∞estimation
• Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• \(L_1\)-estimation for the location parameters in stochastic volatility models
• Title not available (Why is that?)
• Block average quantile regression for massive dataset
• EfficientL₁estimation and related inferences in linear regression with unknown form of heteroscedasticity
• On a necessary condition for the consistency of the l₁estimates in linear regression models
• L-estimatton for linear heteroscedastic models
• On multivariate quantile regression analysis

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