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Article: The global weighted lad estimators for finite/infinite variance arma(p,q) models
Title | The global weighted lad estimators for finite/infinite variance arma(p,q) models |
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Authors | |
Issue Date | 2012 |
Citation | Econometric Theory, 2012, v. 28, n. 5, p. 1065-1086 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/230909 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 1.393 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhu, Ke | - |
dc.contributor.author | Ling, Shiqing | - |
dc.date.accessioned | 2016-09-01T06:07:07Z | - |
dc.date.available | 2016-09-01T06:07:07Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Econometric Theory, 2012, v. 28, n. 5, p. 1065-1086 | - |
dc.identifier.issn | 0266-4666 | - |
dc.identifier.uri | http://hdl.handle.net/10722/230909 | - |
dc.description.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. | - |
dc.language | eng | - |
dc.relation.ispartof | Econometric Theory | - |
dc.title | The global weighted lad estimators for finite/infinite variance arma(p,q) models | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1017/S0266466612000059 | - |
dc.identifier.scopus | eid_2-s2.0-84869447338 | - |
dc.identifier.volume | 28 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 1065 | - |
dc.identifier.epage | 1086 | - |
dc.identifier.eissn | 1469-4360 | - |
dc.identifier.isi | WOS:000309697100005 | - |
dc.identifier.issnl | 0266-4666 | - |