1. LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Author
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Yuan Li, Xingfa Zhang, Rongmao Zhang, and Shiqing Ling
- Subjects
Economics and Econometrics ,Linear function (calculus) ,Series (mathematics) ,Applied Mathematics ,Autoregressive conditional heteroskedasticity ,05 social sciences ,Estimator ,01 natural sciences ,010104 statistics & probability ,Noise ,Rate of convergence ,Autoregressive model ,0502 economics and business ,Statistics::Methodology ,Applied mathematics ,Least absolute deviations ,0101 mathematics ,050205 econometrics ,Mathematics - Abstract
This paper explores the least absolute deviation (LAD) estimator of the autoregressive model with heavy-tailed G-GARCH(1, 1) noise. When the tail index α ∈ ( 1 , 2 ] , it is shown that the LAD estimator asymptotically converges to a linear function of a series of α -stable random vectors with a rate of convergence n 1 − 1 ∕ α . The result is significantly different from that of the corresponding least square estimator which is not consistent, and partially solves the problem on the asymptoticity of the LAD estimator when the tail index is less than 2. A simulation study is carried out to assess the performance of the LAD estimator and a real example is given to illustrate this approach.
- Published
- 2022