Asymptotic distributions of some robust scale estimators in explosive AR(1) model

作者：Koul Hira L; Vellaisamy P^*

来源：Statistics & Probability Letters, 2017, 126: 157-163.

DOI：10.1016/j.spl.2017.03.007

• Median
• Absolute residuals
• Pairwise absolute differences

This note establishes the asymptotic normality of the median of the absolute residuals and the median of the absolute differences of pairwise residuals in the first order explosive autoregressive time series. These estimators are useful for obtaining some scale invariant estimators of the autoregressive parameter.

• 出版日期2017-7