On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

DOI10.1016/S0167-7152(02)00321-8zbMath1093.62573OpenAlexW2034027387MaRDI QIDQ1871331

Jeffrey T. Terpstra, M. Bhaskara Rao

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00321-8

zbMATH Keywords

autoregressive time seriesRobustAsymptotic normalityVectorGR-EstimatesMGR-Estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (2)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ WeightedL₁-estimates for a VAR(p) time series model

Cites Work

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• Generalized rank estimates for an autoregressive time series: A \(U\)-statistic approach

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