Asymptotics of self-weighted M-estimators for autoregressive models
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DOI: 10.1007/s00184-016-0592-x
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… read more here.
Keywords: weighted estimators; autoregressive models; self weighted; asymptotics self ... See more keywords