Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129921 | Statistics & Probability Letters | 2017 | 7 Pages |
Abstract
This note establishes the asymptotic normality of the median of the absolute residuals and the median of the absolute differences of pairwise residuals in the first order explosive autoregressive time series. These estimators are useful for obtaining some scale invariant estimators of the autoregressive parameter.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hira L. Koul, P. Vellaisamy,