R-estimation in autoregression with square-integrable score function

DOI10.1006/jmva.2001.1998zbMath1011.62093MaRDI QIDQ1604625

Zhi-Dong Bai, Kanchan Mukherjee

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

contiguity; autoregressive models; robust estimation; R-estimation

Mathematics Subject Classification ID

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

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

Related Items

Rank-based estimation for all-pass time series models

Cites Work

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