Least absolute deviation estimation of stationary time series models

DOI10.1016/0377-2217(93)90068-XzbMath0775.62230MaRDI QIDQ2367373

William T. M. Dunsmuir, Bruce A. Murtagh

Publication date: 7 September 1993

Published in: European Journal of Operational Research (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Least absolute value regression: recent contributions ⋮ Time series interpolation via global optimization of moments fitting

Uses Software

• MINOS

Cites Work

• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• A simulation study of l1:estimation of a seasonal moving average time series model
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