Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance

DOI10.1016/j.jkss.2014.04.001zbMath1311.62154OpenAlexW2000023205MaRDI QIDQ2513786

Yanyan Li

Publication date: 29 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.04.001

zbMATH Keywords

asymptotic normalitytestingstationarityARFIMAWLAD

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Uses Software

• longmemo

Cites Work

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