Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151720 | Statistics & Probability Letters | 2014 | 8 Pages |
Abstract
We introduce a new class of ARFIMA models, which removes the restrictions that the roots of AR and MA polynomials are outside the unit circle. We establish consistency and asymptotic normality of the least absolute deviation estimator under non-Gaussian setting.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Rongning Wu,