Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes.

DOI10.1016/S0378-3758(97)00145-6zbMATH Open1067.62570MaRDI QIDQ1299546FDOQ1299546

Authors: Michel Harel, Madan L. Puri 

Publication date: 1998

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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zbMATH Keywords

Absolute regularityAutoregression quantilesGeneralized random coefficient autoregressive processRelated rank scores processesStrong mixing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Regression rank scores and regression quantiles
• Regression Quantiles
• Title not available (Why is that?)
• Bilinear Markovian representation and bilinear models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE
• A weak convergence result useful in robust autoregression
• Autoregression quantiles and related rank-scores processes
• Limiting behavior of U-statistics, V-statistics, and one sample rank order statistics for nonstationary absolutely regular processes
• Title not available (Why is that?)
• Tests of linear hypotheses based on regression rank scores
• Convergence of empirical processes of mixing rv's on \([0,1]\)
• Estimation in a linear model based on regression rank scores
• Title not available (Why is that?)

Cited In (4)

• Une méthode semi-paramétrique pour tester un modèle de régression. (A semi-parametric method to test a regression model)
• The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
• On the quantile process based on the autoregressive residuals.
• Autoregression quantiles and related rank-scores processes

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