Weighted least absolute deviations estimation for ARMA models with infinite variance
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Publication:2886969
DOI10.1017/S0266466607070363zbMATH Open1237.62122OpenAlexW2116387036MaRDI QIDQ2886969FDOQ2886969
Authors: Jiazhu Pan, Hui Wang, Qiwei Yao 
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070363
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Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Parameter estimation for infinite variance fractional ARIMA
- M-estimation for autoregression with infinite variance
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- \(L_{p}\)-estimators in ARCH models
- On convergence of LAD estimates in autoregression with infinite variance
- Least absolute deviation estimates in autoregression with infinite variance
Cited In (39)
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Estimation and tests for power-transformed and threshold GARCH models
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Efficient estimation and variable selection for infinite variance autoregressive models
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Empirical likelihood for partial parameters in ARMA models with infinite variance
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Weighted quantile regression for AR model with infinite variance errors
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Forecasting with Using Quasilinear Recurrence Equation
- LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
- Empirical likelihood test for the application of swqmele in fitting an arma‐garch model
- Robust inference theory for non-regular time series models and its extensions
- Weighted Estimation and Tracking for ARMAX Models
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Least absolute deviation estimation for general autoregressive moving average time-series models
- Empirical likelihood for LAD estimators in infinite variance ARMA models
- Stable Identification of Linear Autoregressive Model with Exogenous Variables on the Basis of the Generalized Least Absolute Deviation Method
- Quantile regression estimator for GARCH models
- Improving of the identification algorithm for a quasilinear recurrence equation
- Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency
- 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
- PARAMETRIC IDENTIFICATION OF QUASILINEAR DIFFERENCE EQUATION
- Weighted least absolute deviations estimation for periodic ARMA models
- Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
- A loss function approach to model specification testing and its relative efficiency
- Asymptotics of self-weighted M-estimators for autoregressive models
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Least tail-trimmed squares for infinite variance autoregressions
- Empirical processes for infinite variance autoregressive models
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