THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS

DOI10.1017/S0266466612000059zbMath1251.91048OpenAlexW2095277251MaRDI QIDQ3168423

Ke Zhu, Shiqing Ling

Publication date: 31 October 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000059

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (12)

Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ Consistency of global LSE for MA(1) models ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ Empirical likelihood for partial parameters in ARMA models with infinite variance ⋮ Estimation for periodic ARMA models with unspecified noises ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

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