Weighted least absolute deviations estimation for periodic ARMA models

DOI10.1007/S10114-015-4372-8MaRDI QIDQ2516021zbMATH OpenOpenAlexFDO

Authors Baoguo Pan, Min Chen, Yan Wang

Publication date 10 August 2015

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-015-4372-8

zbMATH Keywords

asymptotic normalityperiodic ARMAperiodic ergodicitystrict periodic stationarityWLADE

Mathematics Subject Classification ID

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

Recommendations

• Weighted least absolute deviations estimation for ARMA models with infinite variance
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• The global weighted lad estimators for finite/infinite variance ARMA(p,q) models

Cites work

• \(L_{p}\)-estimators in ARCH models
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• Asymptotic theory for a vector ARMA-GARCH model
• Large sample properties of parameter estimates for periodic ARMA models
• Least absolute deviation estimation for general autoregressive moving average time-series models
• LS estimation of periodic autoregressive models with non-Gaussian errors: a simulation study
• M-estimation for autoregression with infinite variance
• On periodic and multiple autoregressions
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Some results in periodic autoregression
• The global weighted lad estimators for finite/infinite variance ARMA(p,q) models
• Weighted least absolute deviations estimation for ARMA models with infinite variance

Cited in

(7)

• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• Weighted least absolute deviations estimation for ARMA models with infinite variance
• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• Weighted Estimation and Tracking for ARMAX Models
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
• Estimation for periodic ARMA models with unspecified noises

This page was built for publication: Weighted least absolute deviations estimation for periodic ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2516021)