Adaptive R-estimation in a linear regression model with ARMA errors

DOI10.1080/715019245MaRDI QIDQ4454274zbMATH OpenOpenAlexFDO

Authors Jelloul Allal, A. Kaaouachi

Publication date 8 March 2004

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/715019245

zbMATH Keywords

\(R\)-estimationadaptivityARMA modelsasymptotic linearitylocal asymptotic minimaxitylocal asymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) 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
• A note on the construction of asymptotically linear estimators
• Adaptive estimation in time-series models
• Adaptive maximum likelihood estimators of a location parameter
• Aligned rank tests for linear models with autocorrelated error terms
• ASYMPTOTIC NORMALITY OF LINEAR RANK STATISTICS UNDER ALTERNATIVES
• Asymptotically efficient adaptive rank estimates in location models
• Efficient estimation in nonlinear autoregressive time-series models
• Estimation of the Distribution of Noise in an Autoregression Scheme
• 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
• On sequentially adaptive asymptotically efficient rank statistics
• On sequentially adaptive signed-rank statistics

Cited in

(10)

• Least absolute deviation estimation for regression with ARMA errors
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• On adaptive estimation in stationary ARMA processes
• Adaptive identification of a modified ARMA lattice model
• scientific article; zbMATH DE number 3901861 (Why is no real title available?)
• Shrinkage estimation for linear regression with ARMA errors
• Uniformly adaptive estimation for models with arma errors
• scientific article; zbMATH DE number 1995548 (Why is no real title available?)
• R-estimation for arma models
• Estimation of a linear regression model with stationary ARMA (p,q) errors

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