Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
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DOI: 10.1007/s00362-019-01141-8
Abstract: Consider a generalized random coefficient AR(1) model, $$y_t=\Phi _t y_{t-1}+u_t$$ , where $$\{(\Phi _t, u_t)^\prime , t\ge 1\}$$ is a sequences of i.i.d. random vectors, and a conditional self-weighted M-estimator of $$\textsf {E}\Phi _t$$ is… read more here.
Keywords: estimator; self weighted; weighted estimator; asymptotics conditional ... See more keywords