R-estimation in autoregression with square-integrable score function

DOI10.1006/jmva.2001.1998zbMath1011.62093OpenAlexW1993519283MaRDI QIDQ1604625

Kanchan Mukherjee, Zhi-Dong Bai

Publication date: 8 July 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2001.1998

zbMATH Keywords

contiguityautoregressive modelsrobust estimationR-estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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