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

Rongning Wu

Statistics & Probability Letters, 2014, vol. 94, issue C, 69-76

Abstract: We introduce a new class of ARFIMA models, which removes the restrictions that the roots of AR and MA polynomials are outside the unit circle. We establish consistency and asymptotic normality of the least absolute deviation estimator under non-Gaussian setting.

Keywords: ARFIMA model; LAD estimation; Noncausality; Noninvertibility (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.07.008

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