Asymptotics of self-weighted M-estimators for autoregressive models |
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Authors: | Xinghui Wang Shuhe Hu |
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Institution: | 1.Department of Statistics,Anhui University,Hefei,People’s Republic of China |
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Abstract: | In this paper, we consider a stationary autoregressive AR(p) time series \(y_t=\phi _0+\phi _1y_{t-1}+\cdots +\phi _{p}y_{t-p}+u_t\). A self-weighted M-estimator for the AR(p) model is proposed. The asymptotic normality of this estimator is established, which includes the asymptotic properties under the innovations with finite or infinite variance. The result generalizes and improves the known one in the literature. |
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