M-estimation for general ARMA processes with infinite variance
DOI10.1002/SJOS.12003zbMATH Open1364.62229OpenAlexW1515271746MaRDI QIDQ2852629FDOQ2852629
Authors: Rongning Wu 
Publication date: 9 October 2013
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/sjos.12003
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bootstrapM-estimationtime seriesstable distributioninfinite varianceARMA processnon-causalitynon-invertibility
Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)
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- An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
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Cited In (9)
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Parameter estimation for ARMA models with infinite variance innovations
- A note on bootstrapping \(M\)-estimators in ARMA models
- M-estimation for autoregression with infinite variance
- Linear prediction of ARMA processes with infinite variance
- Ordinary and proper location M-estimates for autoregressive-moving average models
- Parameter estimation for a misspecified arma model with infinite variance innovations
- Title not available (Why is that?)
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