Least absolute deviation estimates in autoregression with infinite variance
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Publication:4188621
DOI10.2307/3213379zbMath0403.62063OpenAlexW2319611730MaRDI QIDQ4188621
No author found.
Publication date: 1979
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213379
AutoregressionEstimatesLeast Squares EstimatorsMonte Carlo StudyStrongly ConsistentInfinite VarianceLeast Absolute DeviationSampling Properties
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (15)
WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE ⋮ NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE ⋮ The consistency of the L1norm estimates in arma models ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ WeightedL1-estimates for a VAR(p) time series model ⋮ M-estimation for autoregression with infinite variance ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Efficient estimation and variable selection for infinite variance autoregressive models ⋮ Linear double autoregression ⋮ On convergence of LAD estimates in autoregression with infinite variance ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ Spectral density estimation for stationary stable processes ⋮ Estimation for regression with infinite variance errors ⋮ Recursive estimation for regression with infinite variance fractional ARIMA noise ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
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