R-estimation in autoregression with square-integrable score function

DOI10.1006/JMVA.2001.1998zbMATH Open1011.62093OpenAlexW1993519283MaRDI QIDQ1604625FDOQ1604625

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

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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)

Cites Work

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

Cited In (12)

• Rank-based estimation for all-pass time series models
• 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
• Generalized R-estimators under conditional heteroscedasticity
• R-estimation for arma models
• Autoregression quantiles and related rank-scores processes
• Estimation in autoregressivemodels based on autoregressionrank scores
• R-estimation in semiparametric dynamic location-scale models
• Asymptotic normality ofr-estimates in the linear model
• A simple R-estimation method for semiparametric duration models
• A moment estimate for rank statistics

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