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

Rongning Wu and Richard A. Davis

Journal of Time Series Analysis, 2010, vol. 31, issue 2, 98-112

Abstract: We study least absolute deviation (LAD) estimation for general autoregressive moving average time‐series models that may be noncausal, noninvertible or both. For ARMA models with Gaussian noise, causality and invertibility are assumed for the parameterization to be identifiable. The assumptions, however, are not required for models with non‐Gaussian noise, and hence are removed in our study. We derive a functional limit theorem for random processes based on an LAD objective function, and establish the consistency and asymptotic normality of the LAD estimator. The performance of the estimator is evaluated via simulation and compared with the asymptotic theory. Application to real data is also provided.

Date: 2010
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