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GR-estimates for an autoregressive time series

✍ Scribed by Jeffrey T. Terpstra; Joseph W. McKean; Joshua D. Naranjo

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
106 KB
Volume
51
Category
Article
ISSN
0167-7152

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✦ Synopsis

A weighted rank-based (GR) estimate for estimating the parameter vector of an autoregressive time series is considered. When the weights are constant, the estimate is equivalent to using Jaeckel's estimate with Wilcoxon scores. Asymptotic linearity properties are derived for the GR-estimate. Based on these properties, the GR-estimate is shown to be asymptotically normal at rate n 1=2 .

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