ISSN:
1572-9230
Keywords:
ARMA process
;
regression
;
least absolute deviation estimation
;
central limit theorem
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The asymptotic normality for least absolute deviation estimates of the parameters in a linear regression model with autoregressive moving average errors is established under very general conditions. The method of proof is based on a functional limit theorem for the LAD objective function.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1022620818679
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