Least absolute deviation estimation for regression with ARMA errors

被引：64
|
作者：
Davis, RA [1 ]
Dunsmuir, WTM [1 ]
机构：
[1] UNIV NEW S WALES,KENSINGTON,NSW 2033,AUSTRALIA
来源：
JOURNAL OF THEORETICAL PROBABILITY | 1997年 / 10卷 / 02期
关键词：
ARMA process; regression; least absolute deviation estimation; central limit theorem;
D O I：
10.1023/A:1022620818679
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The asymptotic normality for least absolute deviation estimates of the parameters in a linear regression model with autoregressive moving average errors is established under very general conditions. The method of proof is based on a functional limit theorem for the LAD objective function.
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页码：481 / 497
页数：17
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