On convergence of LAD estimates in autoregression with infinite variance

Hong-Zhi An and Zhao-guo Chen

Journal of Multivariate Analysis, 1982, vol. 12, issue 3, 335-345

Abstract: The least absolute deviation estimates L(N), from N data points, of the autoregressive constants a = (a1, ..., aq)' for a stationary autoregressive model, are shown to have the property that N[sigma](L(N) - a) converge to zero in probability, for [sigma]

Keywords: Autoregressive; model; domain; of; attraction; of; a; stable; law; of; index; [alpha]; least; absolute; deviation (search for similar items in EconPapers)
Date: 1982
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Citations: View citations in EconPapers (3)

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