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Asymptotic distributions of some robust scale estimators in explosive AR(1) model

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  • Koul, Hira L.
  • Vellaisamy, P.

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.

Suggested Citation

  • Koul, Hira L. & Vellaisamy, P., 2017. "Asymptotic distributions of some robust scale estimators in explosive AR(1) model," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 157-163.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:157-163
    DOI: 10.1016/j.spl.2017.03.007
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    References listed on IDEAS

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    1. Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
    2. Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
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