Asymptotics of self-weighted M-estimators for autoregressive models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00184-016-0592-x.pdf
Reference16 articles.
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2. Chen Z, Li RZ, Wu YH (2012) Weighted quantile regression for AR model with infinite variance errors. J Nonparametr Stat 24:715–731
3. Davis RA (1996) Gauss–Newton and M-estimation for ARMA processes with infinite variance. Stoch Process Appl 63:75–95
4. Davis RA, Resnick SI (1985) Limit theory for moving averages of random variables with regularly varying tail probabilities. Ann Probab 13:179–195
5. Davis RA, Resnick SI (1986) Limit theory for the sample covariance and correlation functions of moving averages. Ann Stat 14:533–558
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