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In this paper, we consider a stationary autoregressive AR(p) time series $$y_t=\phi _0+\phi _1y_{t-1}+\cdots +\phi _{p}y_{t-p}+u_t$$yt=ϕ0+ϕ1yt-1+⋯+ϕpyt-p+ut. A self-weighted M-estimator for the AR(p) model is proposed. The asymptotic normality of this… Click to show full abstract
In this paper, we consider a stationary autoregressive AR(p) time series $$y_t=\phi _0+\phi _1y_{t-1}+\cdots +\phi _{p}y_{t-p}+u_t$$yt=ϕ0+ϕ1yt-1+⋯+ϕpyt-p+ut. 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.
Keywords:
weighted estimators;
autoregressive models;
self weighted;
asymptotics self;
estimators autoregressive
Journal Title: Metrika
Year Published: 2017
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Journal Title: Metrika
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!