Least absolute deviation estimation for general ARMA time series models with infinite variance

DOI10.5705/SS.2011.035AzbMath1214.62094OpenAlexW2318360405MaRDI QIDQ2999750

Rongning Wu

Publication date: 16 May 2011

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5e3ccac895627b0f0bc28586a4bd3d34cc9c5620

zbMATH Keywords

ARMA modelstable distributionLAD estimationnon-causalitynon-invertibility

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) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)

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