Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions

DOI10.2307/3316058zbMath1013.62089OpenAlexW1983236802MaRDI QIDQ2738928

Faouzi El Bantli, Marc Hallin

Publication date: 3 July 2003

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3316058

zbMATH Keywords

bootstrapM-estimatorslimiting distributionautoregressive modelautoregression quantiles

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (2)

On robust testing for conditional heteroscedasticity in time series models ⋮ Sample heterogeneity and M-estimation

Cites Work

• Nearby variables with nearby conditional laws and a strong approximation theorem for Hilbert space valued martingales
• Bootstrapping general first order autoregression
• Some asymptotic theory for the bootstrap
• A weak convergence result useful in robust autoregression
• The Bahadur-Kiefer representation for \(U\)-quantiles
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Convergence of stochastic processes
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