Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions
Marc Hallin () and
Faouzi El Bantli
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
The authors derive the limiting distribution of M-estimators in AR(p) models under nonstandard conditions, allowing for discontinuities in score and density functions. Unlike usual regularity assumptions, these conditions are satisfied in the context of L1-estimation and autoregression quantiles. The asymptotic distributions of the resulting estimators, however, are not generally Gaussian. Moreover, their bootstrap approximations are consistent along very specific sequences of bootstrap sample sizes only.
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Published in: Canadian Journal of Statistics (2001) v.29 nÂ° 1,p.155-168
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Working Paper: Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions (2001)
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