Asymptotic distributions of some robust scale estimators in explosive AR(1) model

Hira L. Koul and P. Vellaisamy

Statistics & Probability Letters, 2017, vol. 126, issue C, 157-163

Abstract: This note establishes the asymptotic normality of the median of the absolute residuals and the median of the absolute differences of pairwise residuals in the first order explosive autoregressive time series. These estimators are useful for obtaining some scale invariant estimators of the autoregressive parameter.

Keywords: Median; Absolute residuals; Pairwise absolute differences (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:126:y:2017:i:c:p:157-163

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DOI: 10.1016/j.spl.2017.03.007

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