Weighted least absolute deviations estimation for ARMA models with infinite variance
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- Chi Yao & Wei Yu & Xuejun Wang, 2023. "Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-21, March.
- Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
- Rongning Wu & Richard A. Davis, 2010. "Least absolute deviation estimation for general autoregressive moving average time‐series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 98-112, March.
- Ke Zhu & Shiqing Ling, 2015.
"LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
- Zhu, Ke & Ling, Shiqing, 2014. "LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises," MPRA Paper 59099, University Library of Munich, Germany.
- Li, Jinyu & Liang, Wei & He, Shuyuan, 2011. "Empirical likelihood for LAD estimators in infinite variance ARMA models," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 212-219, February.
- Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
- Xinghui Wang & Shuhe Hu, 2017. "Asymptotics of self-weighted M-estimators for autoregressive models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 83-92, January.
- Ke-Ang Fu & Ting Li & Chang Ni & Wenkai He & Renshui Wu, 2021. "Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors," Statistical Papers, Springer, vol. 62(3), pages 1407-1419, June.
- Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
- Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
- Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
- Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
- 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.
- Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing, 2022. "LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise," Journal of Econometrics, Elsevier, vol. 227(1), pages 228-240.
- Yang, Yaxing & Ling, Shiqing & Wang, Qiying, 2022. "Consistency of global LSE for MA(1) models," Statistics & Probability Letters, Elsevier, vol. 182(C).
- Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
- Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
- Xiaoyan Li & Jiazhu Pan & Anchao Song, 2023. "Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 418-436, July.
- Mo Zhou & Liang Peng & Rongmao Zhang, 2021. "Empirical likelihood test for the application of swqmele in fitting an arma‐garch model," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 222-239, March.
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JEL classification:
- J1 - Labor and Demographic Economics - - Demographic Economics
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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