Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
From MaRDI portal
Publication:3541270
DOI10.1111/j.1467-9868.2007.00641.xzbMath1351.62134OpenAlexW1972917544MaRDI QIDQ3541270
Bas J. M. Werker, Catherine Vermandele, Marc Hallin
Publication date: 25 November 2008
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/ws/files/600353/11.pdf
local asymptotic normalitygroup invarianceleast absolute deviation estimation\(R\)-estimationmedian regression and auto-regressionquantile regression and auto-regressionsign and rank tests
Related Items (4)
Statistically efficient construction of \(a\)-risk-minimizing portfolio ⋮ Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes ⋮ Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quasi-maximum likelihood estimation for conditional quantiles
- Kernel and nearest-neighbor estimation of a conditional quantile
- Conditional empirical processes
- Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
- On adaptive estimation
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Adaptive estimation in time-series models
- Least absolute deviation estimation for regression with ARMA errors
- Asymptotic normality for \(L_1\) norm kernel estimator of conditional median under \(\alpha\)-mixing dependence
- Asymptotics in statistics. Some basic concepts.
- On adaptive estimation in stationary ARMA processes
- Autoregression quantiles and related rank-scores processes
- Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
- Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity
- Regression Quantiles
- An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
- A Lack-of-Fit Test for Quantile Regression
- Asymptotic properties for l 1 norm kernel estimator of conditional median under dependence
- REGRESSION QUANTILES FOR TIME SERIES
- The Limiting Distribution of the Maximum Rank Correlation Estimator
- ASYMPTOTIC NORMALITY OF LINEAR RANK STATISTICS UNDER ALTERNATIVES
- Asymptotic Linearity of a Rank Statistic in Regression Parameter
- An Analogue, for Signed Rank Statistics, of Jureckova's Asymptotic Linearity Theorem for Rank Statistics
This page was built for publication: Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
