Empirical likelihood for LAD estimators in infinite variance ARMA models
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- Pan, Jiazhu & Wang, Hui & Yao, Qiwei, 2007. "Weighted least absolute deviations estimation for ARMA models with infinite variance," LSE Research Online Documents on Economics 5405, London School of Economics and Political Science, LSE Library.
- Davis, Richard A., 1996. "Gauss-Newton and M-estimation for ARMA processes with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 75-95, October.
- Chan, Ngai Hang & Ling, Shiqing, 2006. "Empirical Likelihood For Garch Models," Econometric Theory, Cambridge University Press, vol. 22(3), pages 403-428, June.
- Pan, Jiazhu & Wang, Hui & Yao, Qiwei, 2007. "Weighted Least Absolute Deviations Estimation For Arma Models With Infinite Variance," Econometric Theory, Cambridge University Press, vol. 23(5), pages 852-879, October.
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Cited by:
- Ruidong Han & Xinghui Wang & Shuhe Hu, 2018. "Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 479-490, August.
- Fumiya Akashi, 2017. "Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models," Statistical Inference for Stochastic Processes, Springer, vol. 20(3), pages 291-313, October.
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Keywords
ARMA model Infinite variance Empirical likelihood LAD estimation;Statistics
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