Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models

DOI10.1016/J.SPL.2014.07.008zbMath1316.62135OpenAlexW1973315729MaRDI QIDQ466996

Rongning Wu

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.008

zbMATH Keywords

ARFIMA modelnoninvertibilityLAD estimationnoncausality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• longmemo

Cites Work

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• M-estimation for autoregression with infinite variance
• Time series: theory and methods.
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviation estimation for all-pass time series models
• Least absolute deviation estimation for general ARMA time series models with infinite variance
• Least absolute deviation estimation for general autoregressive moving average time-series models
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Memory Processes

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