Asymptotics of self-weighted M-estimators for autoregressive models

作者：Wang, Xinghui; Hu, Shuhe^*

来源：Metrika, 2017, 80(1): 83-92.

DOI：10.1007/s00184-016-0592-x

• Self-weighted M-estimator
• Autoregressive model
• Stationary process
• Infinite variance

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.

• 出版日期2017-1
• 单位安徽大学