Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
DOI10.1016/J.JMVA.2014.12.008zbMATH Open1307.62054OpenAlexW3122122309MaRDI QIDQ2256754FDOQ2256754
Publication date: 20 February 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.008
heavy tailsrobust estimationempirical likelihoodautoregressiontail trimmingredescending transformation
Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Empirical likelihood methods with weakly dependent processes
- Large Sample Properties of Generalized Method of Moments Estimators
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Empirical likelihood ratio confidence regions
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Robust Estimation of a Location Parameter
- Some Limit Theorems for Stationary Processes
- Empirical likelihood
- Robustness, infinitesimal neighborhoods, and moment restrictions
- Simulation and the Asymptotics of Optimization Estimators
- Convergence of stochastic processes
- The Influence Curve and Its Role in Robust Estimation
- Uniform Central Limit Theorems
- Robust Inference for Generalized Linear Models
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
- Robust estimates for GARCH models
- Minimum Hellinger distance estimates for parametric models
- Invariance principles for absolutely regular empirical processes
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Regular variation of GARCH processes.
- Robust efficient method of moments
- Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
- Central limit theorems for empirical measures
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Implied Probabilities in GMM Estimators
- One-Step Estimators for Over-Identified Generalized Method of Moments Models
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Least tail-trimmed squares for infinite variance autoregressions
- Robustness of dual divergence estimators for models satisfying linear constraints
- Divergences and duality for estimation and test under moment condition models
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Stability of nonlinear AR-GARCH models
- Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
- Moment condition tests for heavy tailed time series
Cited In (2)
This page was built for publication: Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2256754)