Stable estimation of autoregressive model parameters with exogenous variables on the basis of the generalized least absolute deviation method

摘要

The generalized least absolute deviation method is an alternative to the least squares method. Together with an appropriate choice of the loss function, it ensures the stability and efficiency of estimating the coefficients of autoregressive models. This paper is devoted to the previously considered methods for finding the parameters of linear regression and autoregressive models without exogenous variables extend to the problem of estimating the parameters of autoregressive models with exogenous variables.