Least absolute deviation estimation for general autoregressive moving average time-series models

DOI10.1111/j.1467-9892.2009.00648.xzbMath1222.62111OpenAlexW1995762559MaRDI QIDQ3077680

Richard A. Davis, Rongning Wu

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00648.x

zbMATH Keywords

non-causalitynon-invertibility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Related Items (10)

Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Least absolute deviations estimation for uncertain autoregressive model ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models ⋮ Identification of symmetric noncausal processes ⋮ A Portmanteau Test for ARMA Processes with Infinite Variance ⋮ Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ M-estimation for general ARMA Processes with Infinite Variance

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