Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Asymptotic Properties of LAD Esimators of a Nonlinear Time Series Regression Model

  • Published : 2000.06.01
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Abstract

In this paper, we deal with the asymptotic properties of the least absolute deviation estimators in the nonlinear time series regression model. For the sinusodial model which frequently appears in a time series analysis, we study the strong consistency and asymptotic normality of least absolute deviation estimators. And using the derived limiting distributions we show that the least absolute deviation estimators is more efficient than the least squared estimators when the error distribution of the model has heavy tails.

Keywords

References

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