论文信息 - On convergence of LAD estimates in autoregression with infinite variance

On convergence of LAD estimates in autoregression with infinite variance

The least absolute deviation estimates L(N), from N data points, of the autoregressive constants a = (a1, ..., aq)' for a stationary autoregressive model, are shown to have the property that N[sigma](L(N) - a) converge to zero in probability, for [sigma]

Hong-Zhi An | H. An | Zhao-guo Chen | Zhao-guo Chen

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[3] V. Yohai,et al. Asymptotic Behavior of Least-Squares Estimates for Autoregressive Processes with Infinite Variances , 1977 .