Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

DOI10.1111/j.1467-9868.2005.00507.xzbMath1069.62069OpenAlexW2107916246MaRDI QIDQ5313457

Shiqing Ling

Publication date: 1 September 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2005.00507.x

zbMATH Keywords

LADheavy-tailed time seriesleast absolute deviation estimationself-weighted least absolute deviation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)

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