The median estimate of the autoregressive location parameter

DOI10.1080/03610920008832575zbMath0993.62077OpenAlexW1976534246MaRDI QIDQ4550647

Jeffrey T. Terpstra

Publication date: 15 September 2002

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

Full work available at URL: https://doi.org/10.1080/03610920008832575

zbMATH Keywords

robustnessmedian estimaterank-based 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) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Infinitesimal robustness for autoregressive processes
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• Highly efficient weighted for autoregression wilcoxon estimes for autoregression
• Estimators based on ranks for arma models
• The use and interpretation of rank-based residuals
• Asymptotic normality ofr-estimates in the linear model

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