Weighted Least Absolute Deviations Estimation for Arma Models with Infinite Variance

@inproceedings{Pan2006WeightedLA,
  title={Weighted Least Absolute Deviations Estimation for Arma Models with Infinite Variance},
  author={Jiazhu Pan and Hui Wang and Qiwei Yao},
  year={2006}
}
For autoregressive and moving-average (ARMA) models with infinite variance innovations, quasi-likelihood based estimators (such as Whittle’s estimators ) suffer from complex asymptotic distributions depending on unknown tail indices. This makes the statistical inference for such models difficult. In contrast, the least absolute deviations estimators (LADE) are more appealing in dealing with heavy tailed processes. In this paper, we propose a weighted least absolute deviations estimator (WLADE… CONTINUE READING

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