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)

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)

Recommendations

• Autoregression quantiles and related rank-scores processes
• scientific article; zbMATH DE number 1211740
• Regression rank scores and regression quantiles

Cites work

• scientific article; zbMATH DE number 4026441 (Why is no real title available?)
• scientific article; zbMATH DE number 4062265 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A weak convergence result useful in robust autoregression
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• Autoregression quantiles and related rank-scores processes
• Bilinear Markovian representation and bilinear models
• Convergence of empirical processes of mixing rv's on \([0,1]\)
• Estimation in a linear model based on regression rank scores
• Limiting behavior of U-statistics, V-statistics, and one sample rank order statistics for nonstationary absolutely regular processes
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Regression Quantiles
• Regression rank scores and regression quantiles
• SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE
• Tests of linear hypotheses based on regression rank scores
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression

Cited in

(4)

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

This page was built for publication: Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1299546)