R-estimation for arma models

DOI10.1080/10485250108832879zbMath0994.62087OpenAlexW2124114989MaRDI QIDQ4551595

Davy Paindaveine, Jelloul Allal, A. Kaaouachi

Publication date: 8 October 2002

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250108832879

zbMATH Keywords

local asymptotic normalityARMA modelasymptotic linearityR-estimation

Mathematics Subject Classification ID

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

Related Items (6)

Adaptive R-Estimation in Autoregressions ⋮ Center-Outward R-Estimation for Semiparametric VARMA Models ⋮ Identification of a spatial autoregression by rank methods ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ One-step R-estimation in linear models with stable errors ⋮ Rank-based estimation for all-pass time series models

Cites Work

• Unnamed Item
• 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
• On adaptive estimation in stationary ARMA processes
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Estimates of Location Based on Rank Tests
• Asymptotic Behavior of a Class of Confidence Regions Based on Ranks in Regression
• Nonparametric Estimate of Regression Coefficients

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