Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
From MaRDI portal
Publication:5479505
DOI10.1093/biomet/92.2.477zbMath1094.62111OpenAlexW2113436174MaRDI QIDQ5479505
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
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (22)
Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\) ⋮ TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS ⋮ Nearly nonstationary processes under infinite variance GARCH noises ⋮ Limit theory for a general class of GARCH models with just barely infinite variance ⋮ NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Quantile inference for heteroscedastic regression models ⋮ Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models ⋮ Conditional variance estimation in heteroscedastic regression models ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models ⋮ EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Local Estimation in AR Models with Nonparametric ARCH Errors ⋮ TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors ⋮ Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity ⋮ Sample path properties of an explosive double autoregressive model
This page was built for publication: Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors