Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance

DOI10.1080/03610926.2022.2150824MaRDI QIDQ6549186zbMATH OpenFDO

Authors Xiaochen Wang, Yu Ping Song

Publication date 3 June 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2150824

Mathematics Subject Classification ID

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

Cites work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• Asymptotics of self-weighted M-estimators for autoregressive models
• Donsker's theorem for self-normalized partial sums processes
• Limit theory for moderate deviations from a unit root
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• M-estimation for autoregression with infinite variance
• M-estimation for moderate deviations from a unit root
• Quantile inference for moderate deviations from a unit root model with infinite variance
• Robust Estimation of a Location Parameter
• Uniform Limit Theory for Stationary Autoregression

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