Dong, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2023
Robust M–estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber’s loss, to … that answers a call from the relevant literature.For parameter estimation where objective function may be nonsmooth, this … approach in robust M–estimation for additive single–index cointegrating time series models; the asymptotic theory is …