Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

10.1093/biomet/asn014 ◽

2008 ◽

Vol 95 (2) ◽

pp. 399-414 ◽

Author(s):

G. Li ◽

W. K. Li

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Conditional Heteroscedasticity ◽

Least Absolute Deviation Estimation

Download Full-text

Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models

Statistics & Probability Letters ◽

10.1016/j.spl.2014.07.008 ◽

2014 ◽

Vol 94 ◽

pp. 69-76 ◽

Author(s):

Rongning Wu

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Least Absolute Deviation Estimation

Download Full-text

Least absolute deviation estimation for general autoregressive moving average time-series models

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2009.00648.x ◽

2010 ◽

Vol 31 (2) ◽

pp. 98-112 ◽

Author(s):

Rongning Wu ◽

Richard A. Davis

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Least Absolute Deviation Estimation

Download Full-text

Least absolute deviation estimation of stationary time series models

European Journal of Operational Research ◽

10.1016/0377-2217(93)90068-x ◽

1993 ◽

Vol 67 (2) ◽

pp. 272-277 ◽

Author(s):

W.T.M. Dunsmuir ◽

B.A. Murtagh

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Least Absolute Deviation Estimation ◽

Stationary Time

Download Full-text

On some nonlinear time series models and the least absolute deviation estimation

10.5353/th_b3878239 ◽

2007 ◽

Author(s):

Guodong Li

Keyword(s):

Time Series ◽

Nonlinear Time Series ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Least Absolute Deviation Estimation

Download Full-text

Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

10.1093/biomet/92.3.691 ◽

2005 ◽

Vol 92 (3) ◽

pp. 691-701 ◽

Author(s):

Guodong Li ◽

Wai Keung Li

Keyword(s):

Time Series ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Conditional Heteroscedasticity ◽

Diagnostic Checking

Download Full-text

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association ◽

10.1080/01621459.1997.10474076 ◽

1997 ◽

Vol 92 (439) ◽

pp. 1184-1194 ◽

Author(s):

Shiqing Ling ◽

W. K. Li

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Conditional Heteroscedasticity

Download Full-text

Least absolute deviation estimation for general ARMA time series models with infinite variance

Statistica Sinica ◽

10.5705/ss.2011.035a ◽

2011 ◽

Vol 21 (2) ◽

pp. 779 ◽

Author(s):

Rongning Wu

Keyword(s):

Time Series ◽

Infinite Variance ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Least Absolute Deviation Estimation

Download Full-text

Beyond long memory in heart rate variability: An approach based on fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

Chaos An Interdisciplinary Journal of Nonlinear Science ◽

10.1063/1.4802035 ◽

2013 ◽

Vol 23 (2) ◽

pp. 023103 ◽

Author(s):

Argentina Leite ◽

Ana Paula Rocha ◽

Maria Eduarda Silva

Keyword(s):

Time Series ◽

Heart Rate Variability ◽

Long Memory ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Conditional Heteroscedasticity

Download Full-text

The asymptotic distribution of R2 for autoregressive-moving average time series models when parameters are estimated

10.1093/biomet/66.1.156 ◽

1979 ◽

Vol 66 (1) ◽

pp. 156-157 ◽

Author(s):

J. R. M. HOSKING

Keyword(s):

Time Series ◽

Asymptotic Distribution ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models

Download Full-text

ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.1986.tb00491.x ◽

1986 ◽

Vol 7 (2) ◽

pp. 133-155 ◽

Author(s):

Pentti Saikkonen

Keyword(s):

Time Series ◽

Moving Average ◽

Asymptotic Properties ◽

Autoregressive Moving Average ◽

Time Series Models

Download Full-text