{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T04:15:31Z","timestamp":1770437731486,"version":"3.49.0"},"reference-count":24,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2012,4,27]],"date-time":"2012-04-27T00:00:00Z","timestamp":1335484800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2012,10]]},"abstract":"<jats:p>This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(<jats:italic>p<\/jats:italic>, <jats:italic>q<\/jats:italic>) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(<jats:italic>p<\/jats:italic>, <jats:italic>q<\/jats:italic>) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models.<\/jats:p>","DOI":"10.1017\/s0266466612000059","type":"journal-article","created":{"date-parts":[[2012,4,27]],"date-time":"2012-04-27T06:08:59Z","timestamp":1335506939000},"page":"1065-1086","source":"Crossref","is-referenced-by-count":20,"title":["THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE\/INFINITE VARIANCE ARMA(<i>p<\/i>,<i>q<\/i>) MODELS"],"prefix":"10.1017","volume":"28","author":[{"given":"Ke","family":"Zhu","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Shiqing","family":"Ling","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2012,4,27]]},"reference":[{"key":"S0266466612000059_ref8","first-page":"221","volume-title":"Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability","volume":"1","author":"Huber","year":"1967"},{"key":"S0266466612000059_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600011233"},{"key":"S0266466612000059_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1991.tb00071.x"},{"key":"S0266466612000059_ref20","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600004394"},{"key":"S0266466612000059_ref3","doi-asserted-by":"publisher","DOI":"10.1023\/A:1022620818679"},{"key":"S0266466612000059_ref10","doi-asserted-by":"crossref","first-page":"755","DOI":"10.1214\/aos\/1028144858","article-title":"Limiting distributions for L1 regression estimators under general conditions","volume":"26","author":"Knight","year":"1998","journal-title":"Annals of Statistics"},{"key":"S0266466612000059_ref13","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600007167"},{"key":"S0266466612000059_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.016"},{"key":"S0266466612000059_ref11","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"S0266466612000059_ref5","first-page":"1135","article-title":"Bootstrapping M-estimates in regression and autoregression with infinite variance","volume":"7","author":"Davis","year":"1997","journal-title":"Statistica Sinica"},{"key":"S0266466612000059_ref23","doi-asserted-by":"publisher","DOI":"10.1214\/11-AOS895"},{"key":"S0266466612000059_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466603192092"},{"key":"S0266466612000059_ref1","volume-title":"Progress in Probability and Statistics","volume":"6","author":"Bloomfield","year":"1983"},{"key":"S0266466612000059_ref2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(96)00063-4"},{"key":"S0266466612000059_ref4","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(92)90142-D"},{"key":"S0266466612000059_ref7","volume-title":"Probability: Theory and Examples","author":"Durrett","year":"2005"},{"key":"S0266466612000059_ref9","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1987.tb00420.x"},{"key":"S0266466612000059_ref12","doi-asserted-by":"publisher","DOI":"10.2307\/1912528"},{"key":"S0266466612000059_ref14","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2005.00507.x"},{"key":"S0266466612000059_ref17","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324469"},{"key":"S0266466612000059_ref18","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466607070363"},{"key":"S0266466612000059_ref21","volume-title":"Handbook of Heavy Tailed Distributions in Finance","author":"Rachev","year":"2003"},{"key":"S0266466612000059_ref22","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2009.00648.x"},{"key":"S0266466612000059_ref24","article-title":"Quasi-maximum exponential likelihood estimators for a double AR(p) model","author":"Zhu","year":"2012","journal-title":"Statistica Sinica"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466612000059","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,24]],"date-time":"2019-04-24T18:45:16Z","timestamp":1556131516000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466612000059\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,4,27]]},"references-count":24,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,10]]}},"alternative-id":["S0266466612000059"],"URL":"https:\/\/doi.org\/10.1017\/s0266466612000059","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,4,27]]}}}