GR-estimates for an autoregressive time series

A weighted rank-based (GR) estimate for estimating the parameter vector of an autoregressive time series is considered. When the weights are constant, the estimate is equivalent to using Jaeckel's estimate with Wilcoxon scores. Asymptotic linearity properties are derived for the GR-estimate. Based on these properties, the GR-estimate is shown to be asymptotically normal at rate n1/2.

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Year of publication:	2001
Authors:	Terpstra, Jeffrey T. ; McKean, Joseph W. ; Naranjo, Joshua D.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 2, p. 165-172
Publisher:	Elsevier
Keywords:	Asymptotic normality Autoregressive time series GR-estimate R-estimate Robust

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254275