An exponential-squared estimator in the autoregressive model with heavy-tailed errors

DOI10.4310/SII.2016.v9.n2.a10zbMath1410.62070OpenAlexW2624917722MaRDI QIDQ1747582

Yunlu Jiang

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2016.v9.n2.a10

zbMATH Keywords

heavy-tailed distributionexponential squared loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

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