On convergence of LAD estimates in autoregression with infinite variance

The least absolute deviation estimates L(N), from N data points, of the autoregressive constants a = (a1, ..., aq)' for a stationary autoregressive model, are shown to have the property that N[sigma](L(N) - a) converge to zero in probability, for [sigma] < 1/[alpha], where the disturbances are i.i.d., attracted to a stable law of index [alpha], 1 <= [alpha] < 2, and satisfy some other conditions.

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Year of publication:	1982
Authors:	An, Hong-Zhi ; Chen, Zhao-guo
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 12.1982, 3, p. 335-345
Publisher:	Elsevier
Keywords:	Autoregressive model domain of attraction of a stable law of index [alpha] least absolute deviation

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

Persistent link: https://www.econbiz.de/10005221250