Asymptotics of self-weighted M-estimators for autoregressive models

Xinghui Wang () and Shuhe Hu ()
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Xinghui Wang: Anhui University
Shuhe Hu: Anhui University

Metrika: International Journal for Theoretical and Applied Statistics, 2017, vol. 80, issue 1, No 5, 83-92

Abstract: Abstract In this paper, we consider a stationary autoregressive AR(p) time series $$y_t=\phi _0+\phi _1y_{t-1}+\cdots +\phi _{p}y_{t-p}+u_t$$ y t = ϕ 0 + ϕ 1 y t - 1 + ⋯ + ϕ p y t - p + u t . A self-weighted M-estimator for the AR(p) model is proposed. The asymptotic normality of this estimator is established, which includes the asymptotic properties under the innovations with finite or infinite variance. The result generalizes and improves the known one in the literature.

Keywords: Self-weighted M-estimator; Autoregressive model; Stationary process; Infinite variance; 62M10; 60J10; 62F12 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00184-016-0592-x

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