Asymptotic theory for LAD estimation of moderate deviations from a unit root

DOI10.1016/j.spl.2014.03.004zbMath1288.62133OpenAlexW2025998252MaRDI QIDQ2453917

Zhiyong Zhou, Zheng Yan Lin

Publication date: 11 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.004

zbMATH Keywords

autoregressive modelmoderate deviationsLAD estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Limit theorems in probability theory (60F99)

Related Items (3)

Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient ⋮ Least absolute deviation estimation for AR(1) processes with roots close to unity

Cites Work

• Limit theory for moderate deviations from a unit root
• Mildly explosive autoregression under weak and strong dependence
• M-estimation for autoregression with infinite variance
• A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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