Estimators based on ranks for arma models
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Publication:3135553
DOI10.1080/03610929108830746zbMath0800.62524OpenAlexW2038458359MaRDI QIDQ3135553
Víctor J. Yohai, Nélida E. Ferretti, Diana M. Kelmansky
Publication date: 11 October 1993
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929108830746
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (3)
GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS ⋮ The median estimate of the autoregressive location parameter ⋮ Highly efficient weighted for autoregression wilcoxon estimes for autoregression
Cites Work
- A new look at Bergström's theorem on convergence in distribution for sums of dependent random variables
- Linear serial rank tests for randomness against ARMA alternatives
- Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
- Robust Estimation of the First-Order Autoregressive Parameter
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