Multivariate functional least squares

DOI10.1016/0047-259X(88)90152-2zbMath0668.62034MaRDI QIDQ1118293

A. H. Welsh, C. R. Heathcote

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

weak convergenceadaptive estimatorstrong uniform consistencymultivariate regression modelmultivariate autoregressive processesasymmetric marginal distributionsfunctional least squareslimiting covariance matrixrobust large sample method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ A comparative study of some robust methods for coefficient-estimation in linear regression ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

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