Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient

DOI10.1007/S11009-023-10005-6MaRDI QIDQ6164871zbMATH OpenOpenAlexFDO

Authors Xinghui Wang, Wenjing Geng, Ruidong Han, Qifa Xu

Publication date 4 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-023-10005-6

zbMATH Keywords

limit distributionmoderate deviationsM-estimateunit root

Mathematics Subject Classification ID

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

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• Limit theory for moderate deviations from a unit root
• M-estimation for autoregression with infinite variance
• M-estimation for moderate deviations from a unit root
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• On asymptotic properties of bootstrap for AR(1) processes
• Quantile inference for near-integrated autoregressive times series with infinite variance
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• Robust regression using iteratively reweighted least-squares
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Cited in

(2)

• scientific article; zbMATH DE number 3915473 (Why is no real title available?)
• scientific article; zbMATH DE number 1241068 (Why is no real title available?)

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