Rank-based estimation for all-pass time series models

DOI10.1214/009053606000001316zbMATH Open1117.62089arXiv0708.1929OpenAlexW3102984440MaRDI QIDQ995429FDOQ995429

Authors: Beth Andrews, Richard A. Davis, F. Jay Breidt 

Publication date: 3 September 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: An autoregressive-moving average model in which all roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models are useful for identifying and modeling noncausal and noninvertible autoregressive-moving average processes. We establish asymptotic normality and consistency for rank-based estimators of all-pass model parameters. The estimators are obtained by minimizing the rank-based residual dispersion function given by Jaeckel [Ann. Math. Statist. 43 (1972) 1449--1458]. These estimators can have the same asymptotic efficiency as maximum likelihood estimators and are robust. The behavior of the estimators for finite samples is studied via simulation and rank estimation is used in the deconvolution of a simulated water gun seismogram.

Full work available at URL: https://arxiv.org/abs/0708.1929

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zbMATH Keywords

non-Gaussiandeconvolutionwhite noiserank estimationall-passnoninvertible moving average

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Seismology (including tsunami modeling), earthquakes (86A15)

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Cited In (11)

• Estimation of time series models using residuals dependence measures
• M-estimation for general ARMA processes with infinite variance
• Maximum likelihood estimation for all-pass time series models
• Least absolute deviation estimation for all-pass time series models
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Least absolute deviation estimation for general autoregressive moving average time-series models
• On the range of validity of the autoregressive sieve bootstrap
• Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models
• Model identification for infinite variance autoregressive processes

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