The Annals of Statistics

Least absolute deviation estimation for all-pass time series models

F. Jay Breidt, Richard A. Davis, and A. Alexandre Trindade

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Abstract

An autoregressive moving average model in which all of the roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models generate uncorrelated (white noise) time series, but these series are not independent in the non-Gaussian case. An approximation to the likelihood of the model in the case of Laplacian (two-sided exponential) noise yields a modified absolute deviations criterion, which can be used even if the underlying noise is not Laplacian. Asymptotic normality for least absolute deviation estimators of the model parameters is established under general conditions. Behavior of the estimators in finite samples is studied via simulation. The methodology is applied to exchange rate returns to show that linear all-pass models can mimic “nonlinear” behavior, and is applied to stock market volume data to illustrate a two-step procedure for fitting noncausal autoregressions.

Article information

Source
Ann. Statist., Volume 29, Number 4 (2001), 919-946.

Dates
First available in Project Euclid: 14 February 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1013699987

Digital Object Identifier
doi:10.1214/aos/1013699987

Mathematical Reviews number (MathSciNet)
MR1869234

Zentralblatt MATH identifier
1012.62094

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62E20: Asymptotic distribution theory 62F10: Point estimation

Keywords
Laplacian density noncausal noninvertible nonminimum phase white noise

Citation

Breidt, F. Jay; Davis, Richard A.; Trindade, A. Alexandre. Least absolute deviation estimation for all-pass time series models. Ann. Statist. 29 (2001), no. 4, 919--946. doi:10.1214/aos/1013699987. https://projecteuclid.org/euclid.aos/1013699987


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