Characterization of the LAD (L/sub 1/) AR parameter estimator when applied to stationary ARMA, MA, and higher order AR processes

DOI10.1109/29.31302zbMATH Open0691.93056OpenAlexW2161959675MaRDI QIDQ3033671FDOQ3033671

Authors: Elwood T. Olsen, Steven A. Ruzinsky 

Publication date: 1989

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.31302

Recommendations

• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• scientific article; zbMATH DE number 4143242
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviation estimation for general ARMA time series models with infinite variance
• Least absolute deviation estimation for general autoregressive moving average time-series models

zbMATH Keywords

LAD (least absolute deviations) AR parameter estimatorPARCOR parameter estimation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cited In (5)

• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• Title not available (Why is that?)
• Least absolute value regression: recent contributions
• Convergence analysis of ladder algorithms for AR and ARMA models
• Performance contours of autoregressive estimates

This page was built for publication: Characterization of the LAD (L/sub 1/) AR parameter estimator when applied to stationary ARMA, MA, and higher order AR processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3033671)