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

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R-estimation in autoregression with square-integrable score function. / Mukherjee, Kanchan; Bai, Z. D.
In: Journal of Multivariate Analysis, Vol. 81, No. 1, 01.04.2002, p. 167-186.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Mukherjee, K & Bai, ZD 2002, 'R-estimation in autoregression with square-integrable score function.', Journal of Multivariate Analysis, vol. 81, no. 1, pp. 167-186. https://doi.org/10.1006/jmva.2001.1998

APA

Vancouver

Mukherjee K, Bai ZD. R-estimation in autoregression with square-integrable score function. Journal of Multivariate Analysis. 2002 Apr 1;81(1):167-186. doi: 10.1006/jmva.2001.1998

Author

Mukherjee, Kanchan ; Bai, Z. D. / R-estimation in autoregression with square-integrable score function. In: Journal of Multivariate Analysis. 2002 ; Vol. 81, No. 1. pp. 167-186.

Bibtex

@article{01b9eb424b54440db0a32799c34da723,
title = "R-estimation in autoregression with square-integrable score function.",
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 H{\'a}jek, Jurekov{\'a} and Koul, respectively.",
keywords = "R-estimation, autoregressive models, contiguity, robust estimation",
author = "Kanchan Mukherjee and Bai, {Z. D.}",
note = "RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research",
year = "2002",
month = apr,
day = "1",
doi = "10.1006/jmva.2001.1998",
language = "English",
volume = "81",
pages = "167--186",
journal = "Journal of Multivariate Analysis",
publisher = "Academic Press Inc.",
number = "1",

}

RIS

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 -