Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
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- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
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- A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA
- A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
- A multiple-threshold AR(1) model
- A note on the geometric ergodicity of a Markov chain
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Extremes of autoregressive threshold processes
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- M-estimation for autoregression with infinite variance
- Markov chains and stochastic stability
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On a measure of lack of fit in time series models
- On non-stationary threshold autoregressive models
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- On the estimation of the heavy-tail exponent in time series using the max-spectrum
- On the least squares estimation of multiple-regime threshold autoregressive models
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Parameter Estimation for Symmetric Stable Distribution
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Sample Splitting and Threshold Estimation
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Stable Paretian models in finance
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
- Testing and Modeling Multivariate Threshold Models
- The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
- Toward a unified interval estimation of autoregressions
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Weighted least absolute deviations estimation for ARMA models with infinite variance
- \(L_{p}\)-estimators in ARCH models
Cited in
(14)- Statistical Inference for Structurally Changed Threshold Autoregressive Models
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- scientific article; zbMATH DE number 7338494 (Why is no real title available?)
- A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- Least tail-trimmed squares for infinite variance autoregressions
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- An exponential-squared estimator in the autoregressive model with heavy-tailed errors
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
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