Asymptotics of self-weighted M-estimators for autoregressive models
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Publication:506578
DOI10.1007/S00184-016-0592-XzbMATH Open1365.62349OpenAlexW2510198302MaRDI QIDQ506578FDOQ506578
Authors: Xinghui Wang, Shuhe Hu 
Publication date: 1 February 2017
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-016-0592-x
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Cites Work
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- M-estimation for autoregression with infinite variance
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Autoregressive processes with infinite variance
- Weighted least absolute deviations estimation for ARMA models with infinite variance
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Weighted quantile regression for AR model with infinite variance errors
- On convergence of LAD estimates in autoregression with infinite variance
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Regression and autoregression with infinite variance
- Least absolute deviation estimates in autoregression with infinite variance
Cited In (18)
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Finite-sample analysis of \(M\)-estimators using self-concordance
- Self-weighted \(L_1\)-estimator for an infinite variance nonlinear autoregressive model
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Asymptotics for the self-weighted M-estimation of nonlinear autoregressive models with heavy-tailed errors
- Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models
- Self-weighted quantile estimation of autoregressive conditional duration model
- Title not available (Why is that?)
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Weighted symmetric estimators of autoregressive models
- Asymptotic behavior of optimal weighting in generalized self-normalization for time series
- Highly efficient weighted for autoregression wilcoxon estimes for autoregression
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
- Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
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