LAD estimation with random coefficient autocorrelated errors.
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Publication:5941338
DOI10.1016/S0167-9473(00)00050-5zbMath1038.62057WikidataQ126671580 ScholiaQ126671580MaRDI QIDQ5941338
Publication date: 20 August 2001
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Conditional heteroskedasticity (ARCH).Least absolute deviation (LAD)Random coefficient autocorrelation (RCA)Thick-tailed distributions
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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