The consistency of the L1norm estimates in arma models

DOI10.1080/03610929308831142zbMath0788.62081OpenAlexW2141486990MaRDI QIDQ4275818

Francisco Alberto Pino, Pedro Alberto Morettin

Publication date: 31 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831142

zbMATH Keywords

invertibility conditionstationaritystrong consistencyARMA modelL1-norm estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (2)

Model selection for infinite variance time series ⋮ Least absolute value regression: recent contributions

Cites Work

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• An Efficient Algorithm for the Kolmogorov-Smirnov and Lilliefors Tests
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