Least tail-trimmed squares for infinite variance autoregressions
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Publication:2852489
DOI10.1111/JTSA.12005zbMATH Open1273.62064OpenAlexW3121882644MaRDI QIDQ2852489FDOQ2852489
Authors: Jonathan B. Hill 
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12005
Recommendations
- Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
- Robust estimation and inference for heavy tailed GARCH
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- M-estimation for autoregression with infinite variance
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)
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Cited In (15)
- An exponential-squared estimator in the autoregressive model with heavy-tailed errors
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Robust inference in conditionally heteroskedastic autoregressions
- Robust estimation and inference for heavy tailed GARCH
- Sieve-based inference for infinite-variance linear processes
- Convergence in mean and central limit theorems for weighted sums of martingale difference random vectors with infinite \(r\)th moments
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Robust parameter estimation of regression model with AR(p) error terms
- Robust score and portmanteau tests of volatility spillover
- Title not available (Why is that?)
- On the measurement and treatment of extremes in time series
- Robustness of Bootstrap in Instrumental Variable Regression
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