Weighted quantile regression for AR model with infinite variance errors
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Cites work
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- Autoregression quantiles and related rank-scores processes
- Autoregressive processes with infinite variance
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- scientific article; zbMATH DE number 193577 (Why is no real title available?)
- scientific article; zbMATH DE number 3573103 (Why is no real title available?)
- Least absolute deviation estimation for regression with ARMA errors
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Limiting distributions for \(L_1\) regression estimators under general conditions
- M-estimation for autoregression with infinite variance
- Maximum Likelihood Estimation of Misspecified Models
- On convergence of LAD estimates in autoregression with infinite variance
- Parameter estimation for ARMA models with infinite variance innovations
- Parameter estimation for infinite variance fractional ARIMA
- Quantile Autoregression
- Quantile regression without the curse of unsmoothness
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Regression and autoregression with infinite variance
- Regression Quantiles
- Regression quantiles and related processes under long range dependent errors
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Tests of Linear Hypotheses and l"1 Estimation
Cited in
(13)- An exponential-squared estimator in the autoregressive model with heavy-tailed errors
- Self-weighted quantile estimation of autoregressive conditional duration model
- Efficient estimation and variable selection for infinite variance autoregressive models
- A Gini autocovariance function for time series modelling
- Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
- Asymptotics of self-weighted M-estimators for autoregressive models
- Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications
- A probability approximation framework: Markov process approach
- Strong consistency for the conditional self-weighted M estimator of GRCA(p) Models
- Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
- Asymptotics for the conditional self-weighted M estimator of GRCA(p) models and its statistical inference
- Gini autocovariance function used for time series with heavy-tail distributions
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
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