Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models

DOI10.1111/J.1467-9868.2007.00641.XzbMath1351.62134OpenAlexW1972917544MaRDI QIDQ3541270

Bas J. M. Werker, Catherine Vermandele, Marc Hallin

Publication date: 25 November 2008

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/ws/files/600353/11.pdf

zbMATH Keywords

local asymptotic normalitygroup invarianceleast absolute deviation estimation\(R\)-estimationmedian regression and auto-regressionquantile regression and auto-regressionsign and rank tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (5)

Statistically efficient construction of \(a\)-risk-minimizing portfolio ⋮ Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes ⋮ Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity ⋮ A conversation with Marc Hallin ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quasi-maximum likelihood estimation for conditional quantiles
• Kernel and nearest-neighbor estimation of a conditional quantile
• Conditional empirical processes
• Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
• On adaptive estimation
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Adaptive estimation in time-series models
• Least absolute deviation estimation for regression with ARMA errors
• Asymptotic normality for \(L_1\) norm kernel estimator of conditional median under \(\alpha\)-mixing dependence
• Asymptotics in statistics. Some basic concepts.
• On adaptive estimation in stationary ARMA processes
• Autoregression quantiles and related rank-scores processes
• Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
• Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity
• Regression Quantiles
• An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
• A Lack-of-Fit Test for Quantile Regression
• Asymptotic properties for l 1 norm kernel estimator of conditional median under dependence
• REGRESSION QUANTILES FOR TIME SERIES
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• ASYMPTOTIC NORMALITY OF LINEAR RANK STATISTICS UNDER ALTERNATIVES
• Asymptotic Linearity of a Rank Statistic in Regression Parameter
• An Analogue, for Signed Rank Statistics, of Jureckova's Asymptotic Linearity Theorem for Rank Statistics

This page was built for publication: Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models