Asymptotic inference of least absolute deviation estimation for AR(1) processes

DOI10.1080/03610926.2018.1549252MaRDI QIDQ5085613zbMATH OpenOpenAlexFDO

Authors Xinghui Wang, Huilong Wang, Shuhe Hu, Hongrui Wang

Publication date 27 June 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1549252

zbMATH Keywords

least absolute deviation estimationmildly explosive autoregressionnearly stationary autoregressionuniform limit

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A limit theorem for mildly explosive autoregression with stable errors
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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On asymptotic properties of bootstrap for AR(1) processes
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Toward a unified interval estimation of autoregressions
• Towards a unified asymptotic theory for autoregression
• Uniform Limit Theory for Stationary Autoregression
• Weighted least absolute deviations estimation for ARMA models with infinite variance

Cited in

(3)

• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
• Least absolute deviation estimation for AR(1) processes with roots close to unity
• Empirical likelihood inference for a class of hysteretic autoregressive models

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