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Least absolute deviation estimation of autoregressive conditional duration model

✍ Scribed by Liu Wei; Hui-min Wang; Min Chen

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2011
Tongue
English
Weight
289 KB
Volume
27
Category
Article
ISSN
0168-9673

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This paper considers least absolute deviations estimation of a regression model with multiple change points occurring at unknown times. Some asymptotic results, including rates of convergence and asymptotic distributions, for the estimated change points and the estimated regression coe cient are der