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

DOI10.1007/S11009-023-10005-6zbMATH Open1524.62455OpenAlexW4323047296MaRDI QIDQ6164871FDOQ6164871

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)

Cites Work

• Limit theory for moderate deviations from a unit root
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• Robust regression using iteratively reweighted least-squares
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• A limit theorem for mildly explosive autoregression with stable errors
• Toward a unified interval estimation of autoregressions
• Uniform Limit Theory for Stationary Autoregression
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• M-estimation for moderate deviations from a unit root
• M-estimation for autoregression with infinite variance
• On asymptotic properties of bootstrap for AR(1) processes
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
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• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Inference on a structural break in trend with mildly integrated errors
• Robust estimation in parametric time series models under long- and short-range-dependent structures

Cited In (2)

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