Weighted quantile regression for AR model with infinite variance errors
DOI10.1080/10485252.2012.698280zbMATH Open1254.62092OpenAlexW2001297674WikidataQ36678831 ScholiaQ36678831MaRDI QIDQ3145394FDOQ3145394
Authors: Zhao Chen, Runze Li, Yaohua Wu 
Publication date: 20 December 2012
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3595619
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)
Cites Work
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- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Parameter estimation for infinite variance fractional ARIMA
- Parameter estimation for ARMA models with infinite variance innovations
- M-estimation for autoregression with infinite variance
- Autoregressive processes with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Autoregression quantiles and related rank-scores processes
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Title not available (Why is that?)
- Quantile regression without the curse of unsmoothness
- Tests of Linear Hypotheses and l"1 Estimation
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- Regression quantiles and related processes under long range dependent errors
- Title not available (Why is that?)
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
Cited In (13)
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- A probability approximation framework: Markov process approach
- An exponential-squared estimator in the autoregressive model with heavy-tailed errors
- Efficient estimation and variable selection for infinite variance autoregressive models
- Self-weighted quantile estimation of autoregressive conditional duration model
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Gini autocovariance function used for time series with heavy-tail distributions
- Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
- Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications
- A Gini autocovariance function for time series modelling
- Asymptotics of self-weighted M-estimators for autoregressive models
- Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
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