Prediction and nonparametric estimation for time series with heavy tails

Journal of Time Series Analysis

Volumn 23, Issue 3, 2002, Pages 313-331

  Hall, Peter ^a   Peng, Liang ^a,b   Yao, Qiwei ^a,c  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

ARMA model; Conditional median; Heavy tail; Least absolute deviation estimation; Local linear regression; Prediction; Regular variation; Stable distribution; Strong mixing; Time series analysis; mixing

Indexed keywords

EID: 0040080056     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00266     Document Type: Article

References (57)

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