WeightedL1-estimates for a VAR(p) time series model

DOI10.1080/10485250802151898zbMath1142.62064OpenAlexW2113894018MaRDI QIDQ3523678

John C. Reber, Jeffrey T. Terpstra, Xianzhe Chen

Publication date: 5 September 2008

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

Full work available at URL: https://doi.org/10.1080/10485250802151898

zbMATH Keywords

robustweightsasymptotic normality\(L_1\)-estimatesvector autoregressive time series

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) Central limit and other weak theorems (60F05)

Related Items (2)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ Weighted L₁-estimates for the First-order Bifurcating Autoregressive Model

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