ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES

DOI10.1111/j.1467-842X.2009.00537.xzbMath1337.62262MaRDI QIDQ2810370

Zheng Yan Lin, Degui Li, J. T. Gao

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalitylong-range dependence\(\alpha\)-mixingM-estimationlinear regression models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

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