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