Estimators based on ranks for arma models

DOI10.1080/03610929108830746MaRDI QIDQ3135553zbMATH OpenOpenAlexFDO

Authors Nélida E. Ferretti, Diana M. Kelmansky, Victor J. Yohai

Publication date 11 October 1993

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929108830746

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
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• scientific article; zbMATH DE number 3376558 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A new look at Bergström's theorem on convergence in distribution for sums of dependent random variables
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Linear serial rank tests for randomness against ARMA alternatives
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Robust Estimation of the First-Order Autoregressive Parameter

Cited in

(4)

• Robust estimation of (partial) autocorrelation
• The median estimate of the autoregressive location parameter
• GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS
• Highly efficient weighted for autoregression wilcoxon estimes for autoregression

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