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A New Proof of Efficiency of LAD Estimation in an Autoregressive Process  

Shin, Key-Il (Department of Statistics, Hankuk University of Foreign Studies)
Kang, Hee-Jeong (Department of Statistics, Chonbuk National University)
Songyong Sim (Department of Statistics, Hallym University)
Publication Information
Journal of the Korean Statistical Society / v.31, no.1, 2002 , pp. 121-128 More about this Journal
Abstract
In this paper we provide a new proof of the asymptotic distributions of LAD estimators using the martingale limit theorem and show the efficiency of LAD estimators in a stationary AR(1) model setting.
Keywords
AR(1); LAD estimator; asymptotic normality; efficiency;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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