Estimation in autoregressivemodels based on autoregressionrank scores

DOI10.1080/10485250108832871zbMath1008.62083OpenAlexW1488169782WikidataQ126250835 ScholiaQ126250835MaRDI QIDQ4789777

Faouzi El Bantli, Marc Hallin

Publication date: 10 April 2003

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250108832871

zbMATH Keywords

uniform asymptotic linearityautoregression quantilesR-estimatorsautoregression rank scores

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear programming (90C05)

Cites Work

• Unnamed Item
• Testing linear hypotheses in autoregressions
• Regression rank scores and regression quantiles
• Optimal tests for autoregressive models based on autoregression rank scores
• Autoregression quantiles and related rank-scores processes
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• Estimation in a linear model based on regression rank scores
• Tests of linear hypotheses based on regression rank scores
• L-Estimation for Linear Models
• Regression Quantiles
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Estimates of Regression Parameters Based on Rank Tests
• Asymptotic Behavior of a Class of Confidence Regions Based on Ranks in Regression
• Nonparametric Estimate of Regression Coefficients

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