Generalized rank estimates for an autoregressive time series: A \(U\)-statistic approach

DOI10.1023/A:1017933427540zbMath1092.62589OpenAlexW1996936048MaRDI QIDQ5952139

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Publication date: 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017933427540

zbMATH Keywords

U-statisticsAbsolutely regular processesAutoregressive time seriesGeometric absolute regularityGR-estimatesPair-wise slopesRank-based estimatesRobust

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 (4)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

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