On the asymptotic distribution of a weighted least absolute deviation estimate for a bifurcating autoregressive process

DOI10.1007/978-3-319-39065-9_5zbMATH Open1366.62179OpenAlexW2523364520MaRDI QIDQ5280261FDOQ5280261

Authors: J. T. Terpstra 

Publication date: 20 July 2017

Published in: Robust Rank-Based and Nonparametric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-39065-9_5

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zbMATH Keywords

asymptotic normalityasymptotic distributionmedianleast absolute deviation estimateL1-estimatesbifurcating autoregressive modelSchweppe weights

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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• Robust Inference for the Bivariate Bifurcating Autoregressive Model
• A law of large numbers result for a bifurcating process with an infinite moving average representation
• Theory & Methods: Weighted Wilcoxon Estimates for Autoregression
• Highly efficient weighted for autoregression wilcoxon estimes for autoregression

Cited In (2)

• HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES
• Parameter estimation for first-order bifurcating autoregressive processes with Weibull innova\-tions

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