Asymptotic theory for LAD estimation of moderate deviations from a unit root

DOI10.1016/j.spl.2014.03.004zbMath1288.62133MaRDI QIDQ2453917

Zhiyong Zhou, Zheng Yan Lin

Publication date: 11 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.004

zbMATH Keywords

autoregressive model; moderate deviations; LAD estimation

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62H20: Measures of association (correlation, canonical correlation, etc.)

60F99: Limit theorems in probability theory

Related Items

Asymptotic inference of least absolute deviation estimation for AR(1) processes, Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient, Least absolute deviation estimation for AR(1) processes with roots close to unity

Cites Work

• Limit theory for moderate deviations from a unit root
• Mildly explosive autoregression under weak and strong dependence
• M-estimation for autoregression with infinite variance
• A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models