Estimation in ARMA models based on signed ranks

MaRDI QIDQ2834323zbMATH OpenFDO

Authors 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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(3)

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