On convergence of LAD estimates in autoregression with infinite variance
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability
Reference5 articles.
1. An Lp-convergence theorem;Chatterji;Ann. Math. Statist.,1969
2. Least absolute deviation estimates in autoregression with infinite variance;Gross;J. Appl. Probab.,1979
3. Autoregeressive processes with infinite variance;Hannan;J. Appl. Probab.,1977
4. Asymptotic behaviour of least squares estimates for autoregressive processes with infinite variances;Yohai;Ann. Statist.,1977
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