Regression quantiles for unstable autoregressive models
From MaRDI portal
Recommendations
- Unit Root Quantile Autoregression Inference
- Autoregression quantiles and related rank-scores processes
- ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
- Asymptotic behavior of regression quantiles in non-stationary, dependent cases
- Asymptotics of regressions with stationary and nonstationary residuals.
Cites work
- A weak convergence result useful in robust autoregression
- Adaptive \(L\)-estimation for linear models
- An Empirical Quantile Function for Linear Models with | operatornameiid Errors
- Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
- ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Autoregression quantiles and related rank-scores processes
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- scientific article; zbMATH DE number 3764832 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3403545 (Why is no real title available?)
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- Multiple Time Series Regression with Integrated Processes
- On tail probabilities for martingales
- Regression Quantiles
- Robust Rank Tests of the Unit Root Hypothesis
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Testing for Unit Roots in Seasonal Time Series
- Time Series Regression with a Unit Root
- Trimmed Least Squares Estimation in the Linear Model
- Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
- Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
Cited in
(9)- Quantile inference for nonstationary processes with infinite variance innovations
- Modeling tail risks of inflation using unobserved component quantile regressions
- Fitting an error distribution in some heteroscedastic time series models
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- A Note on Unit Root Tests with Infinite Variance Noise
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- scientific article; zbMATH DE number 7070761 (Why is no real title available?)
- Diagnostic test for unstable autoregressive models
- Inference on nonstationary heavy-tailed AR processes via model selection
This page was built for publication: Regression quantiles for unstable autoregressive models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1877008)
