Mukherjee, Kanchan and Bai, Z. D. (2002) R-estimation in autoregression with square-integrable score function. Journal of Multivariate Analysis, 81 (1). pp. 167-186.
Full text not available from this repository.Abstract
This paper develops an asymptotic theory for R-estimation based on a square-integrable, not necessarily bounded, score function in the pth order stationary autoregressive model. Asymptotic uniform linearity of a class of linear rank statistics is established and the asymptotic normality of the corresponding R-estimators is derived. This paper thus solves a long-standing problem in the development of the asymptotics for rank estimators under the autoregressive setup. The proofs use a combination of the approximation technique, the contiguity technique and the weak convergence technique of Hájek, Jureková and Koul, respectively.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Journal of Multivariate Analysis |
| Additional Information: | RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research |
| Uncontrolled Keywords: | R-estimation ; autoregressive models ; contiguity ; robust estimation |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics |
| ID Code: | 2463 |
| Deposited By: | ep_importer |
| Deposited On: | 29 Mar 2008 15:28 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 16:25 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/2463 |
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