Asymptotics ofL1-Estimators in Moving Average Time Series Models
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Publication:4449147
DOI10.1081/STA-120026580zbMATH Open1255.62287MaRDI QIDQ4449147FDOQ4449147
Authors: Lihong Wang 
Publication date: 5 February 2004
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
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- 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
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)
Cites Work
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Asymptotic Theory of Least Absolute Error Regression
- Convex Analysis
- Title not available (Why is that?)
- M-estimation for autoregression with infinite variance
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Asymptotic normality of \(L_ 1\)-estimators in nonlinear regression
- On convergence of LAD estimates in autoregression with infinite variance
Cited In (5)
- Asymptotic distributions of \(L_1\)-estimators for nonlinear autoregression
- FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
- Asymptotic behaviour of M-estimators in \(AR(p)\) models under nonstandard conditions
- \(L_1\)-estimation for the location parameters in stochastic volatility models
- Title not available (Why is that?)
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