Rank-Based Estimation for Autoregressive Moving Average Time Series Models
نویسندگان
چکیده
منابع مشابه
Rank-Based Estimation for Autoregressive Moving Average Time Series Models
We establish asymptotic normality and consistency for rank-based estimators of autoregressive-moving average model parameters. The estimators are obtained by minimizing a rank-based residual dispersion function similar to the one given in L.A. Jaeckel [Estimating regression coefficients by minimizing the dispersion of the residuals, Ann. Math. Statist. 43 (1972) 1449–1458]. These estimators can...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2007
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2007.00545.x