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Least absolute deviation estimation of stationary time series models

✍ Scribed by W.T.M. Dunsmuir; B.A. Murtagh


Book ID
107992354
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
404 KB
Volume
67
Category
Article
ISSN
0377-2217

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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