THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS

DOI10.1017/S0266466612000059zbMath1251.91048MaRDI QIDQ3168423

Ke Zhu, Shiqing Ling

Publication date: 31 October 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000059

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B82: Statistical methods; economic indices and measures

Related Items

Estimation for periodic ARMA models with unspecified noises, Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models, A bootstrapped spectral test for adequacy in weak ARMA models, Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models, Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models, Consistency of global LSE for MA(1) models, LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise, Statistical inference for autoregressive models under heteroscedasticity of unknown form, Empirical likelihood for partial parameters in ARMA models 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, Least tail-trimmed squares for infinite variance autoregressions

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