Adaptive R-Estimation in Autoregressions

DOI10.1081/STA-120028380MaRDI QIDQ3155267zbMATH OpenFDO

Authors Jelloul Allal, M. Faizi, A. Kaaouachi

Publication date 14 January 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120028380

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
• Adaptive estimation in time-series models
• Aligned rank tests for linear models with autocorrelated error terms
• Efficient estimation in nonlinear autoregressive time-series models
• Empirical Bayes estimation in functional and structural models, and uniformly adaptive estimation of location
• Estimates of Location Based on Rank Tests
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3258670 (Why is no real title available?)
• Linear serial rank tests for randomness against ARMA alternatives
• On adaptive estimation
• On adaptive estimation in stationary ARMA processes
• On efficient estimation in regression models
• On estimation and adaptive estimation for locally asymptotically normal families
• R-estimation for arma models
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cited in

(14)

• An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process
• Adaptive estimators for parameters of the autoregression function of a Markov chain
• R-estimation in autoregression with square-integrable score function
• Local asymptotic normality for autoregression with infinite order
• Adaptive estimation in a random coefficient autoregressive model
• On adaptive estimation in stationary ARMA processes
• Adaptive estimation of causal periodic autoregressive model
• scientific article; zbMATH DE number 3986476 (Why is no real title available?)
• An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors
• scientific article; zbMATH DE number 1995548 (Why is no real title available?)
• Adaptive R-estimation in a linear regression model with ARMA errors
• Estimation in autoregressivemodels based on autoregressionrank scores
• Asymptotically honest fiducial generalized inference: an application in autoregressive models
• Weakly adaptive estimators in explosive autoregression

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