Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

DOI10.1093/BIOMET/92.2.477zbMATH Open1094.62111OpenAlexW2113436174MaRDI QIDQ5479505FDOQ5479505

Authors: Ngai Hang Chan, Liang Peng 

Publication date: 10 July 2006

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/92.2.477

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zbMATH Keywords

SymmetryMedianWeighted least absolute deviations estimator

Mathematics Subject Classification ID

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

Cited In (25)

• Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
• Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
• Estimation and asymptotic inference in the AR-ARCH model
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• QUANTILE DOUBLE AUTOREGRESSION
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Strict stationarity testing and GLAD estimation of double autoregressive models
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Nearly nonstationary processes under infinite variance GARCH noises
• Conditional variance estimation in heteroscedastic regression models
• Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• Limit theory for a general class of GARCH models with just barely infinite variance
• Quantile inference for heteroscedastic regression models
• Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
• Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
• Toward a unified interval estimation of autoregressions
• Sample path properties of an explosive double autoregressive model
• Tail index of an AR(1) model with ARCH(1) errors
• Statistical inference for conditional quantiles in nonlinear time series models

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