Estimation in ARMA models based on signed ranks

zbMATH Open1490.62223MaRDI QIDQ2834323FDOQ2834323

Jelloul Allal, A. Kaaouachi

Publication date: 28 November 2016

Published in: Journal of the Iranian Statistical Society JIRSS (Search for Journal in Brave)

Full work available at URL: http://jirss.irstat.ir/browse.php?a_id=99&slc_lang=en&sid=1&ftxt=1

zbMATH Keywords

ARMA modelsasymptotic relative efficiencylocal asymptotic normalityasymptotic uniform linearity\(R\)-estimationrank and signed-rank proceduresserial signed rank statistics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• R-estimation for arma models

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