Least absolute deviation estimation of stationary time series models

W. T M Dunsmuir*, B. A. Murtagh

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


This paper is concerned with practical aspects of least absolute deviation (LAD) estimation of Box-Jenkins models for single time series. Formulation of the LAD method as a non-linear programming problem is described. The method is applied to a multiplicative seasonal moving average model for monthly rice sales data and to US airline passenger data.

Original languageEnglish
Pages (from-to)272-277
Number of pages6
JournalEuropean Journal of Operational Research
Issue number2
Publication statusPublished - 11 Jun 1993


  • LAD estimation
  • Moving averages
  • Non-linear programming


Dive into the research topics of 'Least absolute deviation estimation of stationary time series models'. Together they form a unique fingerprint.

Cite this