Abstract
The asymptotic normality for least absolute deviation estimates of the parameters in a linear regression model with autoregressive moving average errors is established under very general conditions. The method of proof is based on a functional limit theorem for the LAD objective function.
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Davis, R.A., Dunsmuir, W.T.M. Least Absolute Deviation Estimation for Regression with ARMA Errors. Journal of Theoretical Probability 10, 481–497 (1997). https://doi.org/10.1023/A:1022620818679
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DOI: https://doi.org/10.1023/A:1022620818679