M-estimates of autoregression with random coefficients

DOI10.1134/S0005117918080040zbMath1404.62086OpenAlexW4253771659MaRDI QIDQ1616223

V. B. Goryainov, A. V. Goryainov

Publication date: 1 November 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117918080040

zbMATH Keywords

asymptotic relative efficiencyM-estimateleast squares estimateautoregression model with random coefficientsTukey distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Uses Software

• robustbase

Cites Work

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• Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient
• Cox's regression model for counting processes: A large sample study
• Estimation in nonlinear time series models
• Random coefficient autoregressive models: an introduction
• Parameter estimation for generalized random coefficient autoregressive processes
• Estimation in Random Coefficient Autoregressive Models
• Robust Statistics
• A Central Limit Theorem for a Class of Dependent Random Variables

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