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R-estimation in autoregression with square-integrable score function.

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.

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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: 09 Oct 2013 15:39
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/2463

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