Rank-based estimation for all-pass time series models
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Publication:995429
DOI10.1214/009053606000001316zbMath1117.62089arXiv0708.1929OpenAlexW3102984440MaRDI QIDQ995429
F. Jay Breidt, Richard A. Davis, Beth Andrews
Publication date: 3 September 2007
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.1929
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Seismology (including tsunami modeling), earthquakes (86A15)
Related Items (9)
RANK-BASED ESTIMATION FOR GARCH PROCESSES ⋮ Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ On the range of validity of the autoregressive sieve bootstrap ⋮ Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models ⋮ Model identification for infinite variance autoregressive processes ⋮ Least absolute deviation estimation for general autoregressive moving average time-series models ⋮ M-estimation for general ARMA Processes with Infinite Variance ⋮ Estimation of time series models using residuals dependence measures
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