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

Research output: Contribution to journalJournal article

Published

Journal publication date1/04/2002
JournalJournal of Multivariate Analysis
Journal number1
Volume81
Number of pages20
Pages167-186
Original languageEnglish

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.

Bibliographic note

RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research