Least absolute deviation estimation for all-pass time series models

zbMath1012.62094MaRDI QIDQ1848890

A. Alexandre Trindade, Richard A. Davis, F. Jay Breidt

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (31)

Dual and inverse ARMA processes and application to time reversibility ⋮ Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes ⋮ Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Least absolute deviations estimation for uncertain autoregressive model ⋮ Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ NONPARAMETRIC PREDICTION WITH SPATIAL DATA ⋮ Noncausal affine processes with applications to derivative pricing ⋮ Estimation bias and feasible conditional forecasts from the first-order moving average model ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ Computing and estimating information matrices of weak ARMA models ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Testing linear causality in mean when the number of estimated parameters is high ⋮ Unit roots in moving averages beyond first order ⋮ Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models ⋮ Risk-parameter estimation in volatility models ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models ⋮ Multiple local Whittle estimation in stationary systems ⋮ Model identification for infinite variance autoregressive processes ⋮ A simulation algorithm for non-causal VARMA processes ⋮ Maximum likelihood estimation for all-pass time series models ⋮ Rank-based estimation for all-pass time series models ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ A bootstrap-assisted spectral test of white noise under unknown dependence ⋮ Least absolute deviation estimation for general autoregressive moving average time-series models ⋮ Noncausal vector AR processes with application to economic time series ⋮ M-estimation for general ARMA Processes with Infinite Variance ⋮ Aspects of non‐causal and non‐invertible CARMA processes ⋮ Estimation of time series models using residuals dependence measures ⋮ Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis

This page was built for publication: Least absolute deviation estimation for all-pass time series models