Asymptotics of self-weighted M-estimators for autoregressive models

被引：5
|
作者：
Wang, Xinghui [1 ]
Hu, Shuhe [1 ]
机构：
[1] Anhui Univ, Dept Stat, Hefei 230601, Peoples R China
来源：
METRIKA | 2017年 / 80卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Self-weighted M-estimator; Autoregressive model; Stationary process; Infinite variance; INFINITE VARIANCE; MOVING AVERAGES; LIMIT THEORY;
D O I：
10.1007/s00184-016-0592-x
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：
In this paper, we consider a stationary autoregressive AR(p) time series y(t) = phi(0) + phi(1)y(t-1) + ... + phi(p)y(t-p) + u(t). A self-weighted M-estimator for the AR(p) model is proposed. The asymptotic normality of this estimator is established, which includes the asymptotic properties under the innovations with finite or infinite variance. The result generalizes and improves the known one in the literature.
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页码：83 / 92
页数：10
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