Least tail-trimmed squares for infinite variance autoregressions

DOI10.1111/jtsa.12005zbMath1273.62064MaRDI QIDQ2852489

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

zbMATH Keywords

heavy tails; least squares; robust inference; tail trimming

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F35: Robustness and adaptive procedures (parametric inference)

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Convergence in mean and central limit theorems for weighted sums of martingale difference random vectors with infinite rth moments, Robustness of Bootstrap in Instrumental Variable Regression, Robust parameter estimation of regression model with AR(p) error terms, Sieve-based inference for infinite-variance linear processes, Robust score and portmanteau tests of volatility spillover, On the measurement and treatment of extremes in time series, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance, Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors, The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails, Robust estimation and inference for heavy tailed GARCH

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