LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises

DOI10.1080/01621459.2014.977386MaRDI QIDQ5367401zbMATH OpenOpenAlexFDO

Authors Ke Zhu, Shiqing Ling

Publication date 13 October 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL http://repository.ust.hk/ir/bitstream/1783.1-71283/1/641912-Article-12-fulltext.pdf

zbMATH Keywords

asymptotic normalitystrong consistencystatistical inferenceself-weighted LADEsign-based portmanteau testLADEARMA\((p,q)\) modelsauto-regressive moving average (ARMA)G/ARCH noisesheavy-tailed noisesleast absolute deviation estimator (LADE)random weighting approach

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• A contagion test with unspecified heteroscedastic errors
• A Unified Inference for Predictive Quantile Regression
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• Nonparametric tests for market timing ability using daily mutual fund returns
• Nearly nonstationary processes under infinite variance GARCH noises
• Test for zero median of errors in an ARMA-GARCH model
• Robust inference theory for non-regular time series models and its extensions
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• Estimation for periodic ARMA models with unspecified noises
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Consistency of global LSE for MA(1) models
• Weighted least absolute deviations estimation for ARMA models with infinite variance
• Outliers and misleading leverage effect in asymmetric GARCH-type models
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

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