GR-estimates for an autoregressive time series.

DOI10.1016/S0167-7152(00)00149-8zbMath1034.62089OpenAlexW2039839019MaRDI QIDQ5933612

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

Publication date: 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00149-8

zbMATH Keywords

robustnessasymptotic normalityautoregressive time seriesGR-estimateR-estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Rank-Based Analysis of Linear Models and Beyond: A Review, Generalized Rank-Based Estimates for Linear Models with Cluster Correlated Data, Center-Outward R-Estimation for Semiparametric VARMA Models, GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS, R-estimation in semiparametric dynamic location-scale models, Weighted L₁-estimates for the First-order Bifurcating Autoregressive Model, ROBUST RECURSIVE ANALYSIS OF SEASONAL MOVING AVERAGE MODELS, On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

Cites Work

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