Weighted least absolute deviations estimation for ARMA models with infinite variance
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Publication:2886969
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Cites work
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Least absolute deviation estimates in autoregression with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- M-estimation for autoregression with infinite variance
- On convergence of LAD estimates in autoregression with infinite variance
- Parameter estimation for infinite variance fractional ARIMA
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- \(L_{p}\)-estimators in ARCH models
Cited in
(41)- PARAMETRIC IDENTIFICATION OF QUASILINEAR DIFFERENCE EQUATION
- Quantile regression estimator for GARCH models
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Weighted quantile regression for AR model with infinite variance errors
- Estimation and tests for power-transformed and threshold GARCH models
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Least absolute deviation estimation for general autoregressive moving average time-series models
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Weighted least absolute deviations estimation for periodic ARMA models
- Empirical likelihood for LAD estimators in infinite variance ARMA models
- Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
- Efficient estimation and variable selection for infinite variance autoregressive models
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Robust inference theory for non-regular time series models and its extensions
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Least tail-trimmed squares for infinite variance autoregressions
- A loss function approach to model specification testing and its relative efficiency
- Forecasting with Using Quasilinear Recurrence Equation
- LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
- Improving of the identification algorithm for a quasilinear recurrence equation
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
- The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Stable identification of linear autoregressive model with exogenous variables on the basis of the generalized least absolute deviation method
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Empirical likelihood for partial parameters in ARMA models with infinite variance
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Consistency of global LSE for MA(1) models
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Empirical processes for infinite variance autoregressive models
- Asymptotics of self-weighted M-estimators for autoregressive models
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Weighted Estimation and Tracking for ARMAX Models
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- A weighted least squares procedure to approximate least absolute deviation estimation in time series with specific reference to infinite variance unit root problems
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