Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions
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Publication:2738928
DOI10.2307/3316058zbMath1013.62089MaRDI QIDQ2738928
Publication date: 3 July 2003
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3316058
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F40: Bootstrap, jackknife and other resampling methods
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Sample heterogeneity and M-estimation, On robust testing for conditional heteroscedasticity in time series models
Cites Work
- Nearby variables with nearby conditional laws and a strong approximation theorem for Hilbert space valued martingales
- Bootstrapping general first order autoregression
- Some asymptotic theory for the bootstrap
- A weak convergence result useful in robust autoregression
- The Bahadur-Kiefer representation for \(U\)-quantiles
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
- Convergence of stochastic processes
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