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

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

THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS

2012 ◽  
Vol 28 (5) ◽  
pp. 1065-1086 ◽  
Author(s):  
Ke Zhu ◽  
Shiqing Ling
Keyword(s):  
Time Series ◽  
Asymptotic Normality ◽  
Simulation Study ◽  
Strong Consistency ◽  
Asymptotic Theory ◽  
Infinite Variance ◽  
Time Series Models ◽  
Absolute Deviation ◽  
Consistency And Asymptotic Normality ◽  
First Time

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.

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