Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors

DOI10.1111/jtsa.12680MaRDI QIDQ6135355

Xiao-Yan Li, Anchao Song, Jiazhu Pan

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitygeometric ergodicitygeneralized random coefficient autoregressive modelself-weighted M-estimatorstochastic functional autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes (62Mxx)

Related Items

Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotics of self-weighted M-estimators for autoregressive models
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Variable selection in generalized random coefficient autoregressive models
• M-estimation in high-dimensional linear model
• \(M\)-estimation of linear models with dependent errors
• Random coefficient autoregressive models: an introduction
• M-estimation for autoregression with infinite variance
• Parameter estimation for generalized random coefficient autoregressive processes
• State-dependent criteria for convergence of Markov chains
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• How to make a Hill plot.
• Statistical inference for generalized random coefficient autoregressive model
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
• Coefficient constancy test in generalized random coefficient autoregressive model
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• M-estimation for general ARMA Processes with Infinite Variance
• WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

This page was built for publication: Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors