Computation of Certain Minimum Distance Estimators in AR[k] Model

DOI10.2307/2290723zbMath0771.62067OpenAlexW4236531505MaRDI QIDQ4694195

Sunil K. Dhar

Publication date: 17 August 1993

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2290723

zbMATH Keywords

optimizationoutlierssimulationsautoregressive modelexistence of minimizersminimum distance estimatorsautoregressive parametersstationary ergodic sequencefunctional least square estimatorslinear combination of absolute linear functionals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Numerical optimization and variational techniques (65K10)

Related Items (3)

Minimum distance estimators for random coefficient autoregressive models ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

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