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We establish the asymptotic theory of least absolute deviation estimators for AR(1) processes with autoregressive parameter satisfying n ( ρ n - 1 ) → γ for some fixed γ as n → ∞ , which is parallel to the results of ordinary least squares estimators developed by Andrews and Guggenberger (Journal of Time Series Analysis, 29, 203–212, 2008) in the case γ = 0 or Chan and Wei (Annals of Statistics, 15, 1050–1063, 1987) and Phillips (Biometrika, 74, 535–574, 1987) in the case γ ≠ 0 . Simulation experiments are conducted to confirm the theoretical results and to demonstrate the robustness of the least absolute deviation estimation.

In conditionally heteroscedastic models, the optimal prediction of powers, or logarithms, of the absolute value has a simple expression in terms of the volatility and an expectation involving the independent process. A natural procedure for estimating this prediction is to estimate the volatility in the first step, for instance by Gaussian quasi-maximum-likelihood or by least absolute deviations, and to use empirical means based on rescaled innovations to estimate the expectation in the second step. The paper proposes an alternative one-step procedure, based on an appropriate non-Gaussian quasi-maximum-likelihood estimator, and establishes the asymptotic properties of the two approaches. Asymptotic comparisons and numerical experiments show that the differences in accuracy can be important, depending on the prediction problem and the innovations distribution. An application to indices of major stock exchanges is given.

This study is an investigation of fuzzy logistic regression model for crisp input and fuzzy output data. The response variable is non-precise and is measured by linguistic terms. Especially this research develops least absolute deviations (LAD) method for modeling and compares the results with the least squares estimation (LSE) method. For these, two estimation methods, min–max method and fitting method, are provided in this research. This study presents new goodness-of-fit indices which are called measure of performance based on fuzzy distance ( M p ) and index of sensitivity ( I S ) . The study gives two numerical examples in real clinical studies about systematic lupus erythematosus and the other one in the field of nutrition to explain the proposed methods. In addition, we investigate the sensitivity of two estimation methods in the case of outliers by a numerical example.

This paper proposes a hybrid estimation algorithm for independently estimating the response function for the center and the response function for the spread in fuzzy regression model. The proposed algorithm combines the least absolute deviations estimation with discriminant analysis. In addition, the F-transform is used to convert spreads of the dependent variable into several groups. Two examples show that our method is superior to the existing methods based on the fuzzy regression model that assumes the same function for spread and center.

How to undertake statistical inference for infinite variance autoregressive models has been a long-standing open problem. To solve this problem, we propose a self-weighted least absolute deviation estimator and show that this estimator is asymptotically normal if the density of errors and its derivative are uniformly bounded. Furthermore, a Wald test statistic is developed for the linear restriction on the parameters, and it is shown to have non-trivial local power. Simulation experiments are carried out to assess the performance of the theory and method in finite samples and a real data example is given. The results are entirely different from other published results and should provide new insights for future research on heavy-tailed time series.

This paper discussed robust estimation for point estimation of the shape and scale parameters for generalized exponential (GE) distribution using a complete dataset in the presence of various percentages of outliers. In the case of outliers, it is known that classical methods such as maximum likelihood estimation (MLE), least square (LS) and maximum product spacing (MPS) in case of outliers cannot reach the best estimator. To confirm this fact, these classical methods were applied to the data of this study and compared with non-classical estimation methods. The non-classical (Robust) methods such as least absolute deviations (LAD), and M-estimation (using M. Huber (MH) weight and M. Bisquare (MB) weight) had been introduced to obtain the best estimation method for the parameters of the GE distribution. The comparison was done numerically by using the Monte Carlo simulation study. The two real datasets application confirmed that the M-estimation method is very much suitable for estimating the GE parameters. We concluded that the M-estimation method using Huber object function is a suitable estimation method in estimating the parameters of the GE distribution for a complete dataset in the presence of various percentages of outliers.

We investigate asymptotic properties of least-absolute-deviation or median quantile estimates of the location and scale functions in nonparametric regression models with dependent data from multiple subjects. Under a general dependence structure that allows for longitudinal data and some spatially correlated data, we establish uniform Bahadur representations for the proposed median quantile estimates. The obtained Bahadur representations provide deep insights into the asymptotic behavior of the estimates. Our main theoretical development is based on studying the modulus of continuity of kernel weighted empirical process through a coupling argument. Progesterone data is used for an illustration.

Extreme learning machine (ELM) has demonstrated great potential in machine learning and data mining fields owing to its simplicity, rapidity and good generalization performance. In this work, a general framework for ELM regression is first investigated based on least absolute deviation (LAD) estimation (called LADELM), and then we develop two regularized LADELM formulations with the l2-norm and l1-norm regularization, respectively. Moreover, the proposed models are posed as simple linear programming or quadratic programming problems. Furthermore, the proposed models are used directly to analyze the hard rate of licorice seeds using near-infrared spectroscopy data. Experimental results on eight different spectral regions show the feasibility and effectiveness of the proposed models.

Since the pioneering work of Koenker and Bassett, median-restricted models have attracted considerable interest. Attention in these models, so far, has focused on least absolute deviation (auto-)regression quantile estimation and the corresponding sign tests. These methods use a pseudolikelihood that is based on a double-exponential reference density and enjoy quite attractive properties of root n consistency (for estimators) and distribution freeness (for tests). The paper extends these results to general, i.e. not necessarily double-exponential, reference densities. Using residual signs and ranks (not signed ranks) and a general reference density f, we construct estimators that remain root n consistent, irrespective of the true underlying density g (i.e. also for g /=f). However, instead of reaching semiparametric efficiency bounds under double-exponential g, they reach these bounds when g coincides with the chosen reference density f. Moreover, we show that choosing reference densities other than the double-exponential in applications can lead to sizable gains in efficiency. The particular case of median regression is treated in detail; extensions to general quantile regression, heteroscedastic errors and time series models are briefly described. The performance of the method is also assessed by simulation and illustrated on financial data.

Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for doing so. It appears, however, from some empirical studies that the GARCH model tends to provide poor volatility forecasts in the presence of additive outliers. To overcome the forecasting limitation, this paper proposes a robust GARCH model (RGARCH) using least absolute deviation estimation and introduces a valuable estimation method from a practical point of view. Extensive Monte Carlo experiments substantiate our conjectures. As the magnitude of the outliers increases, the one‐step‐ahead forecasting performance of the RGARCH model has a more significant improvement in two forecast evaluation criteria over both the standard GARCH and random walk models. Strong evidence in favour of the RGARCH model over other competitive models is based on empirical application. By using a sample of two daily exchange rate series, we find that the out‐of‐sample volatility forecasts of the RGARCH model are apparently superior to those of other competitive models. Copyright © 2002 John Wiley & Sons, Ltd.