Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient

DOI10.1007/s11009-023-10005-6zbMath1524.62455OpenAlexW4323047296MaRDI QIDQ6164871

Wenjing Geng, Ruidong Han, Xinghui Wang, Qifa Xu

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-023-10005-6

zbMATH Keywords

unit rootmoderate deviationslimit distributionM-estimate

Mathematics Subject Classification ID

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

Cites Work

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• Robust regression using iteratively reweighted least-squares
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• M-estimation for Moderate Deviations From a Unit Root

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