Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form

DOI10.1111/J.1467-9892.2005.00456.XMaRDI QIDQ3440744zbMATH OpenOpenAlexFDO

Authors Richard Luger

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00456.x

zbMATH Keywords

conditional heteroscedasticityexact inference methodsfirst-order autoregressive modelsmedian-unbiased estimationrandom walk

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On median unbiased inference for first order autoregressive models
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• A median-unbiased estimator of the \(AR(1)\) coefficient
• Median unbiased estimation of bivariate predictive regression models with heavy-tailed or heteroscedastic errors
• ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Cites work

• A median-unbiased estimator of the \(AR(1)\) coefficient
• An Improved Algorithm for Discrete l₁ Linear Approximation
• An invariant sign test for random walks based on recursive median adjustment
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Concepts of nonparametric theory
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Quasi-maximum likelihood estimation of stochastic volatility models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

Cited in

(5)

• A median-unbiased estimator of the \(AR(1)\) coefficient
• Median Unbiased and Maximum Likelihood Estimations of ARCH(0, 1) Coefficient
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• On median unbiased inference for first order autoregressive models
• Median unbiased estimation of bivariate predictive regression models with heavy-tailed or heteroscedastic errors

This page was built for publication: Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440744)