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Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
Author(s) -
Rongning Wu,
Yunwei Cui
Publication year - 2018
Publication title -
electronic journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/18-ejs1390
Subject(s) - mathematics , least absolute deviations , estimator , truncated mean , statistics , rate of convergence , convergence (economics) , autoregressive model , asymptotic distribution , sample mean and sample covariance , variance (accounting) , moment (physics) , sample size determination , econometrics , channel (broadcasting) , business , physics , accounting , classical mechanics , economic growth , economics , electrical engineering , engineering