ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES

DOI10.1111/j.1467-842X.2009.00537.xzbMath1337.62262MaRDI QIDQ2810370

Zheng Yan Lin, Degui Li, J. T. Gao

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

consistency; asymptotic normality; long-range dependence; \(\alpha\)-mixing; M-estimation; linear regression models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

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

62F35: Robustness and adaptive procedures (parametric inference)

62M05: Markov processes: estimation; hidden Markov models