Least tail-trimmed squares for infinite variance autoregressions
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Publication:2852489
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Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 3573103 (Why is no real title available?)
- scientific article; zbMATH DE number 1054299 (Why is no real title available?)
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- A simple general approach to inference about the tail of a distribution
- Asymptotic behavior of hill's estimator for autoregressive data
- Autoregressive processes with infinite variance
- Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
- Consistency for least squares regression estimators with infinite variance data
- Consistent Nonparametric Entropy-Based Testing
- Convergence of stochastic processes
- Estimation in Random Coefficient Autoregressive Models
- Estimators for the linear regression model based on Winsorized observations
- Extremal memory of stochastic volatility with an application to tail shape inference
- Extremes of stochastic volatility models
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- General trimmed estimation: robust approach to nonlinear and limited dependent variable models
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least Median of Squares Regression
- Least absolute deviation estimates in autoregression with infinite variance
- Limit distributions for linear programming time series estimators
- Limit theory for bilinear processes with heavy-tailed noise
- Limit theory for the sample covariance and correlation functions of moving averages
- Linear prediction of ARMA processes with infinite variance
- M-estimation for autoregression with infinite variance
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- On convergence of LAD estimates in autoregression with infinite variance
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- On the asymptotic normality of sequences of weak dependent random variables
- One-dimensional linear recursions with Markov-dependent coefficients
- Pitfalls of fitting autoregressive models for heavy-tailed time series
- Prediction and nonparametric estimation for time series with heavy tails
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- Regular variation of order 1 nonlinear AR-ARCH models
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Simulation and the Asymptotics of Optimization Estimators
- Some limit theorems for empirical processes (with discussion)
- Some mixing properties of time series models
- Structural Vector Autoregressions With Nonnormal Residuals
- Sums, Trimmed sums and extremes
- Symmetrically Trimmed Least Squares Estimation for Tobit Models
- Tail and nontail memory with applications to extreme value and robust statistics
- The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
- The influence functions for the least trimmed squares and the least trimmed absolute deviations estimators
- The multivariate least-trimmed squares estimator
- Toward a unified interval estimation of autoregressions
- Trimmed Least Squares Estimation in the Linear Model
- Uniform Central Limit Theorems
- Weighted least absolute deviations estimation for ARMA models with infinite variance
- What portion of the sample makes a partial sum asymptotically stable or normal?
Cited in
(15)- Robust estimation and inference for heavy tailed GARCH
- scientific article; zbMATH DE number 5018757 (Why is no real title available?)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Sieve-based inference for infinite-variance linear processes
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Robust parameter estimation of regression model with AR(p) error terms
- Robustness of Bootstrap in Instrumental Variable Regression
- Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- An exponential-squared estimator in the autoregressive model with heavy-tailed errors
- On the measurement and treatment of extremes in time series
- Robust inference in conditionally heteroskedastic autoregressions
- Robust score and portmanteau tests of volatility spillover
- Convergence in mean and central limit theorems for weighted sums of martingale difference random vectors with infinite \(r\)th moments
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