Asymptotics of some estimators and sequential residual empiricals in nonlinear time series

DOI10.1214/aos/1033066216zbMath0865.62065OpenAlexW2054463275MaRDI QIDQ1922413

Publication date: 14 July 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1033066216

zbMATH Keywords

asymptotic expansion asymptotic normality nonlinear time series asymptotically distribution free regression models minimum distance estimators robust inference change point \(M\)-estimators asymptotic uniform linearity least absolute deviation estimators \(R\)-estimators Hodges-Lehmann estimators Huber estimators exponential autoregression models sequential residual empirical process testing of goodness-of-fit threshold autoregression models unified functional approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Robustness and adaptive procedures (parametric inference) (62F35) Functional limit theorems; invariance principles (60F17)

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Cites Work