On convergence of LAD estimates in autoregression with infinite variance

DOI10.1016/0047-259X(82)90070-7zbMath0508.62075MaRDI QIDQ1838012

Zhao-Guo Chen, Hong-Zhi An

Publication date: 1982

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

zbMATH Keywords

domain of attractionstable lawinfinite variancestationary autoregressive modelconvergence of LAD estimatesleast absolute deviation estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (19)

WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE ⋮ ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ The consistency of the L₁norm estimates in arma models ⋮ Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models ⋮ A new class of consistent estimators for stochastic linear regressive models ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ Squared and absolute errors in optimal approximation of nonlinear systems. ⋮ M-estimation for autoregression with infinite variance ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Least absolute value regression: recent contributions ⋮ Linear double autoregression ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ Asymptotics ofL₁-Estimators in Moving Average Time Series Models ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ Spectral density estimation for stationary stable processes ⋮ Robust goodness-of-fit tests for \(\text{AR} (p)\) models based on \(L_1\)-norm fitting ⋮ Weighted quantile regression for AR model with infinite variance errors

Cites Work

• Unnamed Item
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Least absolute deviation estimates in autoregression with infinite variance
• An $L^p$-Convergence Theorem

This page was built for publication: On convergence of LAD estimates in autoregression with infinite variance