Asymptotic distributions of some robust scale estimators in explosive AR(1) model

DOI10.1016/j.spl.2017.03.007zbMath1373.62131OpenAlexW2598766676MaRDI QIDQ2405934

Palaniappan Vellaisamy, Hira L. Koul

Publication date: 28 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.spl.2017.03.007

zbMATH Keywords

medianabsolute residualspairwise absolute differences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

Cites Work

• Unnamed Item
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• Weak convergence of the residual empirical process in explosive autoregression
• Weakly adaptive estimators in explosive autoregression
• M-estimation for autoregression with infinite variance
• Limit theory and bootstrap for explosive and partially explosive autoregression
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Statistics

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