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M-estimation for autoregressions with infinite variance

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  1. 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.
  2. Davis, Richard A. & Song, Li, 2012. "Functional convergence of stochastic integrals with application to statistical inference," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 725-757.
  3. Xinghui Wang & Wenjing Geng & Ruidong Han & Qifa Xu, 2023. "Asymptotic Properties of the M-estimation for an AR(1) Process with a General Autoregressive Coefficient," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-23, March.
  4. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  5. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).
  6. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
  7. Chan, Ngai Hang & Zhang, Rong-Mao, 2009. "Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4124-4148, December.
  8. Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  9. 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.
  10. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
  11. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
  12. Alain Hecq & Joao Victor Issler & Sean Telg, 2020. "Mixed causal–noncausal autoregressions with exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
  13. Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
  14. She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
  15. 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.
  16. Chen Xi & Wang Lihong, 2013. "Conditional L1 estimation for random coefficient integer-valued autoregressive processes," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 221-235, August.
  17. Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
  18. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
  19. 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.
  20. Li, Jinyu & Liang, Wei & He, Shuyuan & Wu, Xianbin, 2010. "Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1420-1430, September.
  21. Ngai Chan & Rongmao Zhang, 2009. "M-estimation in nonparametric regression under strong dependence and infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 391-411, June.
  22. Wu, Rongning, 2014. "Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 69-76.
  23. Andrews, Beth & Davis, Richard A., 2013. "Model identification for infinite variance autoregressive processes," Journal of Econometrics, Elsevier, vol. 172(2), pages 222-234.
  24. Shin, Dong Wan & So, Beong Soo, 1999. "New tests for unit roots in autoregressive processes with possibly infinite variance errors," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 387-397, October.
  25. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
  26. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
  27. Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
  28. Yuya Sasaki & Yulong Wang, 2020. "Testing Finite Moment Conditions for the Consistency and the Root-N Asymptotic Normality of the GMM and M Estimators," Papers 2006.02541, arXiv.org, revised Sep 2020.
  29. Zhou, Zhiyong & Lin, Zhengyan, 2014. "Asymptotic theory for LAD estimation of moderate deviations from a unit root," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 25-32.
  30. Rongning Wu, 2013. "M-estimation for general ARMA Processes with Infinite Variance," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 571-591, September.
  31. 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.
  32. Meintanis, S. G. & Donatos, G. S., 1999. "Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers," Computational Statistics & Data Analysis, Elsevier, vol. 31(3), pages 323-339, September.
  33. Kato, Kengo, 2009. "Asymptotics for argmin processes: Convexity arguments," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1816-1829, September.
  34. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  35. Fasen, Vicky, 2013. "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, vol. 172(2), pages 325-337.
  36. Koul, Hira L. & Vellaisamy, P., 2017. "Asymptotic distributions of some robust scale estimators in explosive AR(1) model," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 157-163.
  37. Andrews, Beth & Davis, Richard A. & Jay Breidt, F., 2006. "Maximum likelihood estimation for all-pass time series models," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1638-1659, August.
  38. Hu, Yaozhong & Long, Hongwei, 2009. "Least squares estimator for Ornstein-Uhlenbeck processes driven by [alpha]-stable motions," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2465-2480, August.
  39. Davis, Richard A. & Mikosch, Thomas, 1998. "Gaussian likelihood-based inference for non-invertible MA(1) processes with SS noise," Stochastic Processes and their Applications, Elsevier, vol. 77(1), pages 99-122, September.
  40. Richard A. Davis & William T. M. Dunsmuir, 1997. "Least Absolute Deviation Estimation for Regression with ARMA Errors," Journal of Theoretical Probability, Springer, vol. 10(2), pages 481-497, April.
  41. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
  42. 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.
  43. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
  44. Hasan, Mohammad N., 2001. "Rank tests of unit root hypothesis with infinite variance errors," Journal of Econometrics, Elsevier, vol. 104(1), pages 49-65, August.
  45. 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.
  46. Julien Fageot & Michael Unser & John Paul Ward, 2020. "The $$n$$n-term Approximation of Periodic Generalized Lévy Processes," Journal of Theoretical Probability, Springer, vol. 33(1), pages 180-200, March.
  47. 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.
  48. Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
  49. Xiaofei Hu & Beth Andrews, 2021. "Integer‐valued asymmetric garch modeling," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 737-751, September.
  50. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
  51. Nannan Ma & Hailin Sang & Guangyu Yang, 2023. "Least absolute deviation estimation for AR(1) processes with roots close to unity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 799-832, October.
  52. Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
  53. Benjamin Poignard, 2020. "Asymptotic theory of the adaptive Sparse Group Lasso," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 297-328, February.
  54. Zhao Chen & Runze Li & Yaohua Wu, 2012. "Weighted quantile regression for AR model with infinite variance errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(3), pages 715-731.
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