On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

DOI10.1016/S0167-7152(02)00321-8zbMath1093.62573MaRDI QIDQ1871331

Jeffrey T. Terpstra, M. Bhaskara Rao

Publication date: 7 May 2003

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

zbMATH Keywords

autoregressive time series; Robust; Asymptotic normality; Vector; GR-Estimates; MGR-Estimates

Mathematics Subject Classification ID

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

62F10: Point estimation

Related Items

WeightedL₁-estimates for a VAR(p) time series model

Cites Work

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