Theory & Methods: Weighted Wilcoxon Estimates for Autoregression

DOI10.1111/1467-842X.00189zbMath0992.62083OpenAlexW1574635742MaRDI QIDQ4540805

Jeffrey T. Terpstra, Joshua D. Naranjo, Joseph W. McKean

Publication date: 28 July 2002

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-842x.00189

zbMATH Keywords

robustnessautoregressive time seriesrank based estimatesadditive outlier modelGR estimatesinnovative outlier modelweighted Wilcoxon estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

On the Asymptotic Distribution of a Weighted Least Absolute Deviation Estimate for a Bifurcating Autoregressive Process ⋮ Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ Simple Robust Tests for Autocorrelated Errors in Time Series Design Intervention Models ⋮ Robust rank-based variable selection in double generalized linear models with diverging number of parameters under adaptive Lasso ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ Rank-based estimation for all-pass time series models ⋮ Weighted L₁-estimates for the First-order Bifurcating Autoregressive Model ⋮ Weighted Wilcoxon‐Type Smoothly Clipped Absolute Deviation Method

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