Theory & Methods: Weighted Wilcoxon Estimates for Autoregression

DOI10.1111/1467-842X.00189MaRDI QIDQ4540805zbMATH OpenOpenAlexFDO

Authors J. T. Terpstra, Joseph W. McKean, Joshua D. Naranjo

Publication date 28 July 2002

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-842x.00189

zbMATH Keywords

additive outlier modelautoregressive time seriesGR estimatesinnovative outlier modelrank based estimatesrobustnessweighted Wilcoxon estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(14)

• Highly efficient weighted for autoregression wilcoxon estimes for autoregression
• Weighted symmetric estimators of autoregressive models
• Weighted Wilcoxon estimators in nonlinear regression
• Weighted \(L_{1}\)-estimates for the first-order bifurcating autoregressive model
• Simple robust tests for autocorrelated errors in time series design intervention models
• A multivariate Wilcoxon regression estimate
• WeightedL₁-estimates for a VAR(p) time series model
• Weighted Wilcoxon‐Type Smoothly Clipped Absolute Deviation Method
• GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS
• Robust rank-based variable selection in double generalized linear models with diverging number of parameters under adaptive Lasso
• On the asymptotic distribution of a weighted least absolute deviation estimate for a bifurcating autoregressive process
• Multivariate autoregressive time series using Schweppe weighted Wilcoxon estimates
• GR-estimates for an autoregressive time series.
• Rank-based estimation for all-pass time series models

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