Least absolute deviations estimation for ARCH and GARCH models
نویسندگان
چکیده
منابع مشابه
Regression Model Estimation Using Least Absolute Deviations , Least Squares Deviations and Minimax Absolute Deviations Criteria
Regression models and their statistical analyses is the most important tool used by scientists in data analyses especially for modeling the relationship among random variables and making predictions with higher accuracy. A fundamental problem in the theory of errors, which has drawn attention of leading mathematicians and scientists since past few centuries, was that of fitting functions. For t...
متن کاملLeast Absolute Deviations Estimation for the Accelerated Failure Time Model
The accelerated failure time (AFT) model assumes a linear relationship between the event time and the covariates. We propose a robust weighted least-absolute-deviations (LAD) method for estimation in the AFT model with right-censored data. This method uses the Kaplan-Meier weights in the LAD objective function to account for censoring. We show that the proposed estimator is root-n consistent an...
متن کاملWeighted Least Absolute Deviations Estimation for Arma Models with Infinite Variance
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 hea...
متن کاملLeast Absolute Deviation Estimation for All-Pass Time Series Models
An autoregressive-moving average model in which all of the roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models generate uncorrelated (white noise) time series, but these series are not independent in the non-Gaussian case. An approximation to the likelihood of the model in the ca...
متن کاملLeast orthogonal absolute deviations problem for generalized logistic function ∗
We consider the existence of optimal parameters for generalized logistic model by least orthogonal absolute deviations, and prove the existence of such optimal solution, under the monotonicity condition on the data.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Biometrika
سال: 2003
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/90.4.967