WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE

DOI10.1017/S0266466607070363zbMath1237.62122OpenAlexW2116387036MaRDI QIDQ2886969

Qiwei Yao, Hui Wang, Jiazhu Pan

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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Cites Work

• M-estimation for autoregression with infinite variance
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Parameter estimation for infinite variance fractional ARIMA
• Least absolute deviation estimation for regression with ARMA errors
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• \(L_{p}\)-estimators in ARCH models
• On convergence of LAD estimates in autoregression with infinite variance
• Least absolute deviation estimates in autoregression with infinite variance
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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