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Least Absolute Deviation Estimation for Regression with ARMA Errors |
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| Authors: | Richard A. Davis William T. M. Dunsmuir |
| Affiliation: | (1) Colorado State University, Colorado;(2) University of New South Wales, Australia |
| Abstract: | The asymptotic normality for least absolute deviation estimates of the parameters in a linear regression model with autoregressive moving average errors is established under very general conditions. The method of proof is based on a functional limit theorem for the LAD objective function. |
| Keywords: | ARMA process regression least absolute deviation estimation central limit theorem |
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