A PROCEDURE FOR OBTAINING M-ESTIMATES IN REGRESSION MODELS WITH SERIALLY DEPENDENT ERRORS

DOI10.1111/J.1467-9892.1986.TB00493.XzbMath0625.62078OpenAlexW2138966074MaRDI QIDQ3028146

Don Coursey, Hans Nyquist

Publication date: 1986

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00493.x

zbMATH Keywords

robustnessstable distributionsleast absolute deviations estimationproof of convergenceautoregressive errorsnon-normal errorsexistence of multiple stationary pointsiterative Cochrane-Orcutt type M-estimatorleast absolute error criterionserially dependent errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Tests of Linear Hypotheses and l"1 Estimation
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A Method for Simulating Stable Random Variables
• On least absolute values estimation
• Regression Quantiles
• Asymptotic Theory of Least Absolute Error Regression
• L p -methods for robust regression
• Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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