Asymptotic distributions of L₁-estimators for nonlinear autoregression

MaRDI QIDQ3513205zbMATH OpenFDO

Authors Jie Zhou, Zhengce Zhang, Sanyang Liu

Publication date 6 August 2008

zbMATH Keywords

\(L_1\)-estimatorasymptotic normalityweak convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 1829451
• scientific article; zbMATH DE number 1124635
• Self-weighted \(L_1\)-estimator for an infinite variance nonlinear autoregressive model
• Asymptotics ofL₁-Estimators in Moving Average Time Series Models
• scientific article; zbMATH DE number 1782386

Cited in

(20)

• Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• On location estimation for LARCH processes
• Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator
• Estimators for alternating nonlinear autoregression
• Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions
• scientific article; zbMATH DE number 1829451 (Why is no real title available?)
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Asymptotic distributions of some scale estimators in nonlinear models
• Self-weighted \(L_1\)-estimator for an infinite variance nonlinear autoregressive model
• Asymptotic distribution of parameter estimators for nonconsecutively observed time series
• scientific article; zbMATH DE number 1124635 (Why is no real title available?)
• scientific article; zbMATH DE number 1782386 (Why is no real title available?)
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
• Asymptotics for the self-weighted M-estimation of nonlinear autoregressive models with heavy-tailed errors
• Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Asymptotics of the composite quantile regression estimator for nonlinear autoregressive models
• Asymptotic distributions of some scale estimators in nonlinear models

This page was built for publication: Asymptotic distributions of \(L_1\)-estimators for nonlinear autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3513205)