Adaptive R-Estimation in Autoregressions

DOI10.1081/STA-120028380zbMath1102.62090MaRDI QIDQ3155267

Jelloul Allal, A. Kaaouachi, M. Faizi

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Unnamed Item
• Unnamed Item
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Linear serial rank tests for randomness against ARMA alternatives
• Empirical Bayes estimation in functional and structural models, and uniformly adaptive estimation of location
• On adaptive estimation
• On efficient estimation in regression models
• Aligned rank tests for linear models with autocorrelated error terms
• Adaptive estimation in time-series models
• Efficient estimation in nonlinear autoregressive time-series models
• On adaptive estimation in stationary ARMA processes
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• On estimation and adaptive estimation for locally asymptotically normal families
• R-estimation for arma models
• Estimates of Location Based on Rank Tests

This page was built for publication: Adaptive R-Estimation in Autoregressions