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

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.

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Year of publication:	2014
Authors:	Wu, Rongning
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 69-76
Publisher:	Elsevier
Subject:	ARFIMA model \| LAD estimation \| Noncausality \| Noninvertibility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930582