Journal of the Korean Statistical Society

  • 제31권1호
  • /
  • Pages.121-128
  • /
  • 2002
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

A New Proof of Efficiency of LAD Estimation in an Autoregressive Process

  • Shin, Key-Il (Department of Statistics, Hankuk University of Foreign Studies) ;
  • Kang, Hee-Jeong (Department of Statistics, Chonbuk National University) ;
  • Songyong Sim (Department of Statistics, Hallym University)
  • 발행 : 2002.03.01
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초록

In this paper we provide a new proof of the asymptotic distributions of LAD estimators using the martingale limit theorem and show the efficiency of LAD estimators in a stationary AR(1) model setting.

키워드

참고문헌

  1. The Annals of Mathematical Statistics v.30 On asymptotic distributions of estimates of parameters of stochastic difference equations Anderson, T. W. https://doi.org/10.1214/aoms/1177706198
  2. Probability and Measure (2nd ed.) Billingsley,P.
  3. Journal of Time Series Analysis v.12 Strong consistency and asymptotic normality of l1 estimates of the autoregressive moving-average model Dunsmuir, W. T. M.; Spencer, N. M. https://doi.org/10.1111/j.1467-9892.1991.tb00071.x
  4. Introduction to Statistical Time Series (2nd ed.) Fuller, W. A.
  5. Martingale Limit Theory and Its Applications Hall, P.; Heyde, C. C.
  6. Journal of the Korean Statistical Society v.27 Strong representations for LAD estimators in AR(1) models Kang, H.-J.; Shin, K.-I.
  7. Stochastic Processes and Their Applications v.57 Bahadur-Kiefer representations for GM-estimators in autoregression models Koul, H. L.; Zhu, Zhiwei https://doi.org/10.1016/0304-4149(95)00008-U