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Properties of Predictors for Autoregressive Time Series

โœ Scribed by Wayne A. Fuller and David P. Hasza


Book ID
125236524
Publisher
American Statistical Association
Year
1981
Tongue
English
Weight
772 KB
Volume
76
Category
Article
ISSN
0162-1459

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GR-estimates for an autoregressive time
โœ Jeffrey T. Terpstra; Joseph W. McKean; Joshua D. Naranjo ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 106 KB

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 o