Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - R-estimation in autoregression with square-integrable score function.
AU - Mukherjee, Kanchan
AU - Bai, Z. D.
N1 - RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research
PY - 2002/4/1
Y1 - 2002/4/1
N2 - 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.
AB - 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.
KW - R-estimation
KW - autoregressive models
KW - contiguity
KW - robust estimation
U2 - 10.1006/jmva.2001.1998
DO - 10.1006/jmva.2001.1998
M3 - Journal article
VL - 81
SP - 167
EP - 186
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
IS - 1
ER -