The global weighted lad estimators for finite/infinite variance arma(p,q) models

Abstract

This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(p, q) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models. © 2012 Cambridge University Press.