Asymptotics ofL1-Estimators in Moving Average Time Series Models

DOI10.1081/STA-120026580MaRDI QIDQ4449147zbMATHFDO

Authors Lihong Wang

Publication date 5 February 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

limiting distributionMA(q) time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• Asymptotic behavior of \(L\)-statistics for a large class of time series
• Asymptotic of the \(L_r\)-norm of density estimators in the autoregressive time series
• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• scientific article; zbMATH DE number 1829451

Cites work

• scientific article; zbMATH DE number 3852235 (Why is no real title available?)
• Asymptotic Theory of Least Absolute Error Regression
• Asymptotic normality of \(L_ 1\)-estimators in nonlinear regression
• Convex Analysis
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Least absolute deviation estimation for regression with ARMA errors
• Limiting distributions for \(L_1\) regression estimators under general conditions
• M-estimation for autoregression with infinite variance
• On convergence of LAD estimates in autoregression with infinite variance
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

Cited in

(5)

• \(L_1\)-estimation for the location parameters in stochastic volatility models
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• scientific article; zbMATH DE number 1829451 (Why is no real title available?)
• Asymptotic behaviour of M-estimators in \(AR(p)\) models under nonstandard conditions
• Asymptotic distributions of \(L_1\)-estimators for nonlinear autoregression

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