Least absolute deviation estimation for all-pass time series models

zbMATH Open1012.62094MaRDI QIDQ1848890FDOQ1848890

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)

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

Cited In (32)

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

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