Least absolute deviation estimation for general autoregressive moving average time-series models
From MaRDI portal
Publication:3077680
DOI10.1111/j.1467-9892.2009.00648.xzbMath1222.62111MaRDI QIDQ3077680
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
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F17: Functional limit theorems; invariance principles
Related Items
A Portmanteau Test for ARMA Processes with Infinite Variance, Diagnostic tests for non-causal time series with infinite variance, Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models, Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models, Identification of symmetric noncausal processes, Least absolute deviations estimation for uncertain autoregressive model, 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, Testing for a Unit Root in Noncausal Autoregressive Models
Cites Work
- Unnamed Item
- Maximum likelihood estimation for noncausal autoregressive processes
- Rank-based estimation for all-pass time series models
- An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- Least absolute deviation estimation for all-pass time series models
- Gaussian and non-Gaussian linear time series and random fields
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Maximum likelihood estimation for all-pass time series models
- Quasi-likelihood Estimation of Non-invertible Moving Average Processes
- WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
- A Simplex Method for Function Minimization