Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors

DOI10.1007/s00362-019-01141-8zbMath1477.62241OpenAlexW2981908226WikidataQ126980917 ScholiaQ126980917MaRDI QIDQ2065285

Ting Li, Chang Ni, Renshui Wu, Wenkai He, Ke Ang Fu

Publication date: 7 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01141-8

zbMATH Keywords

asymptotic normalityheavy tailrandom coefficient autoregressive modelself-weighted M-estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (3)

Random weighting method for M-test in linear model with dependent errors ⋮ Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models

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