Rank-based estimation for all-pass time series models
From MaRDI portal
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)
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.
Recommendations
- Maximum likelihood estimation for all-pass time series models
- Least absolute deviation estimation for all-pass time series models
- GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS
- Rank-based estimation for autoregressive moving average time series models
- Estimation in autoregressivemodels based on autoregressionrank scores
Cites work
- scientific article; zbMATH DE number 4022375 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 882698 (Why is no real title available?)
- Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
- Fourier series based nonminimum phase model for statistical signal processing
- Least absolute deviation estimation for all-pass time series models
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation for all-pass time series models
- Nonminimum phase non-Gaussian deconvolution
- ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
- On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
- Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
- Quasi-likelihood estimation of non-invertible moving average process
- R-estimation for arma models
- R-estimation in autoregression with square-integrable score function
- TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- Theory & Methods: Weighted Wilcoxon Estimates for Autoregression
- Time series: theory and methods.
- Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
- \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
Cited in
(11)- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Least absolute deviation estimation for general autoregressive moving average time-series models
- Least absolute deviation estimation for all-pass time series models
- Maximum likelihood estimation for all-pass time series models
- Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models
- Model identification for infinite variance autoregressive processes
- M-estimation for general ARMA processes with infinite variance
- Estimation of time series models using residuals dependence measures
- Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
- On the range of validity of the autoregressive sieve bootstrap
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
This page was built for publication: Rank-based estimation for all-pass time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q995429)
