R-estimation in autoregression with square-integrable score function

DOI10.1006/JMVA.2001.1998MaRDI QIDQ1604625zbMATHOpenAlexFDO

Authors Kanchan Mukherjee, Zhidong Bai

Publication date 8 July 2002

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.2001.1998

zbMATH Keywords

robust estimationcontiguityautoregressive modelsR-estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• A weak convergence result useful in robust autoregression
• Aligned rank tests for linear models with autocorrelated error terms
• Asymptotic Behavior of a Class of Confidence Regions Based on Ranks in Regression
• Asymptotic Linearity of a Rank Statistic in Regression Parameter
• Asymptotic normality ofr-estimates in the linear model
• Asymptotics in statistics: some basic concepts
• Autoregression quantiles and related rank-scores processes
• Estimates of Regression Parameters Based on Rank Tests
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Linear serial rank tests for randomness against ARMA alternatives
• Nonparametric Estimate of Regression Coefficients
• On a Class of Rank Order Tests for the Parallelism of Several Regression Lines
• On adaptive estimation in stationary ARMA processes
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Statistics
• Testing linear hypotheses in autoregressions
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models

Cited in

(12)

• Rank-based estimation for all-pass time series models
• Estimation in autoregressivemodels based on autoregressionrank scores
• A simple R-estimation method for semiparametric duration models
• A moment estimate for rank statistics
• Asymptotic normality ofr-estimates in the linear model
• Generalized R-estimators under conditional heteroscedasticity
• On the asymptotic normality of the R-estimators of the slope parameters of simple linear regression models with associated errors
• Center-Outward R-Estimation for Semiparametric VARMA Models
• Adaptive R-Estimation in Autoregressions
• Autoregression quantiles and related rank-scores processes
• R-estimation in semiparametric dynamic location-scale models
• R-estimation for arma models

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