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Journal of Nonparametric Statistics Volume 24, 2012 - Issue 3
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Original Articles

Weighted quantile regression for AR model with infinite variance errors

Zhao Chen Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui, 230026, People's Republic of China
,
Runze Li Department of Statistics, Pennsylvania State University, University Park, PA, 16802-2111, USACorrespondence[email protected]
&
Yaohua Wu Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui, 230026, People's Republic of China
Pages 715-731 | Received 13 Oct 2011, Accepted 23 May 2012, Published online: 09 Jul 2012

Citations (9)

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Read on this site (2)

Yi Wu & Xuejun Wang. (2023) Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications. Journal of Statistical Computation and Simulation 93:11, pages 1694-1715.
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A. Aghamohammadi & M. Bahmani. (2022) Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors. Communications in Statistics - Theory and Methods 0:0, pages 1-20.
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Articles from other publishers (7)

Peng Chen, Qi-Man Shao & Lihu Xu. (2023) A probability approximation framework: Markov process approach. The Annals of Applied Probability 33:2.
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Chi Yao, Wei Yu & Xuejun Wang. (2022) Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models. Methodology and Computing in Applied Probability 25:1.
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Xiaochen Wang & Yuping Song. (2021) Self-weighted quantile estimation of autoregressive conditional duration model. Journal of the Korean Statistical Society 51:1, pages 87-108.
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Marcel D. Carcea. (2018) Gini autocovariance function used for time series with heavy‐tail distributions. WIREs Computational Statistics 10:3.
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Xinghui Wang & Shuhe Hu. (2016) Asymptotics of self-weighted M-estimators for autoregressive models. Metrika 80:1, pages 83-92.
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Marcel Carcea & Robert Serfling. (2015) A Gini Autocovariance Function for Time Series Modelling. Journal of Time Series Analysis 36:6, pages 817-838.
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Yunlu Jiang & Hong Li. (2014) Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors. Journal of the Korean Statistical Society 43:4, pages 531-543.
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