Least absolute deviation estimation for general autoregressive moving average time-series models
DOI10.1111/J.1467-9892.2009.00648.XzbMATH Open1222.62111OpenAlexW1995762559MaRDI QIDQ3077680FDOQ3077680
Authors: Rongning Wu, Richard A. Davis 
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
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)
Cites Work
- Maximum likelihood estimation for all-pass time series models
- A Simplex Method for Function Minimization
- Maximum likelihood estimation for noncausal autoregressive processes
- Gaussian and non-Gaussian linear time series and random fields
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Least absolute deviation estimation for regression with ARMA errors
- Weighted least absolute deviations estimation for ARMA models with infinite variance
- Least absolute deviation estimation for all-pass time series models
- 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
- Rank-based estimation for all-pass time series models
- Title not available (Why is that?)
- An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
- Quasi-likelihood estimation of non-invertible moving average process
Cited In (14)
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Identification of symmetric noncausal processes
- M-estimation for general ARMA processes with infinite variance
- Least absolute deviation estimation for all-pass time series models
- A portmanteau test for ARMA processes with infinite variance
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models
- Testing for a unit root in noncausal autoregressive models
- Weighted least absolute deviations estimation for periodic ARMA models
- Characterization of the LAD (L/sub 1/) AR parameter estimator when applied to stationary ARMA, MA, and higher order AR processes
- Least absolute deviations estimation for uncertain autoregressive model
- Diagnostic tests for non-causal time series with infinite variance
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