Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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Cites work
- scientific article; zbMATH DE number 193577 (Why is no real title available?)
- scientific article; zbMATH DE number 3573103 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Least absolute deviation estimation for regression with ARMA errors
- Least absolute deviations estimation for ARCH and GARCH models
- Limiting distributions for \(L_1\) regression estimators under general conditions
- M-estimation for autoregression with infinite variance
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- On convergence of LAD estimates in autoregression with infinite variance
- Parameter estimation for infinite variance fractional ARIMA
- Regression quantiles for unstable autoregressive models
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(70)- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- The global weighted lad estimators for finite/infinite variance ARMA(p,q) models
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Empirical likelihood for autoregressive models with spatial errors
- Estimation and tests for power-transformed and threshold GARCH models
- Inference for spatial autoregressive models with infinite variance noises
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Asymmetric linear double autoregression
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- QUANTILE DOUBLE AUTOREGRESSION
- Efficient estimation and variable selection for infinite variance autoregressive models
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Self-weighted \(L_1\)-estimator for an infinite variance nonlinear autoregressive model
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
- Self-weighted quantile estimation of autoregressive conditional duration model
- Weighted quantile regression for AR model with infinite variance errors
- scientific article; zbMATH DE number 7338494 (Why is no real title available?)
- Misspecification of noncausal order in autoregressive processes
- Strong consistency for the conditional self-weighted M estimator of GRCA(p) Models
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
- Robust inference theory for non-regular time series models and its extensions
- Regularization and variable selection for infinite variance autoregressive models
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- Robust causality test of infinite variance processes
- Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Asymptotic properties of the global self-weighted M-estimator for ARMA( p , q ) models with infinite variance
- A Gini autocovariance function for time series modelling
- Linear double autoregression
- Inference on nonstationary heavy-tailed AR processes via model selection
- Risk-parameter estimation in volatility models
- Predictive regressions for macroeconomic data
- Moment condition tests for heavy tailed time series
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Inference for mean change-point in infinite variance \(AR(p)\) process
- A weighted least squares procedure to approximate least absolute deviation estimation in time series with specific reference to infinite variance unit root problems
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
- Non-crossing quantile double-autoregression for the analysis of streaming time series data
- Bootstrapping a weighted linear estimator of the ARCH parameters
- Least absolute deviation estimation of autoregressive conditional duration model
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- A Note on Unit Root Tests with Infinite Variance Noise
- Weighted least absolute deviations estimation for periodic ARMA models
- scientific article; zbMATH DE number 7387192 (Why is no real title available?)
- Toward a unified interval estimation of autoregressions
- Fitting an error distribution in some heteroscedastic time series models
- Estimating the conditional tail expectation of Walmart stock data
- Asymptotics of self-weighted M-estimators for autoregressive models
- Weighted least absolute deviations estimation for ARMA models with infinite variance
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Diagnostic tests for non-causal time series with infinite variance
- Empirical processes for infinite variance autoregressive models
- Least tail-trimmed squares for infinite variance autoregressions
- SCAD-penalized least absolute deviation regression in high-dimensional models
- Asymptotics for the conditional self-weighted M estimator of GRCA(p) models and its statistical inference
- Model identification for infinite variance autoregressive processes
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