R-estimation in autoregression with square-integrable score function

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

Zhidong 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

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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

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• Nonparametric Estimate of Regression Coefficients
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• Estimates of Regression Parameters Based on Rank Tests
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• \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
• Testing linear hypotheses in autoregressions

Cited In (11)

• Rank-based estimation for all-pass time series models
• 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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