Estimators Based on Ranks for Arma Models
In this paper we introduce a new family of robust estimators for ARMA models. These estimators are defined by replacing the residual sample autocovariances in the least squares equations by autocovariances based on ranks. The asymptotic normality of the proposed estimators is provided. The efficienc...
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| Formato: | Capítulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
1991
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
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| LEADER | 05146caa a22005297a 4500 | ||
|---|---|---|---|
| 001 | PAPER-11922 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518204207.0 | ||
| 008 | 190411s1991 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-0040197395 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Ferretti, N.E. | |
| 245 | 1 | 0 | |a Estimators Based on Ranks for Arma Models |
| 260 | |c 1991 | ||
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Anderson, T.W., (1971) The Statistical Analysis of Times Series, , Wiley, New York | ||
| 504 | |a Billingsley, P., (1968) Convergence of Probability Measures, , Wiley, New York | ||
| 504 | |a Box, G.E.P., Jenkins, G.M., (1970) Time Series Analysis forecasting and control Holden-Day, , San Francisco | ||
| 504 | |a Bustos, O.H., General M-estimates for contaminated p — th order autoregressive processes: consistency and asymptotic normality (1982) Z. Wahrsch. Verw. Gebeiete, 59, pp. 491-504 | ||
| 504 | |a Bustos, O., Fraiman, R., Yohai, V., Asymptotic behaviour of the estimates based on residual autocovariance for ARMA models (1984) Robust and Nonlinear Time Series, pp. 26-49. , J. Franke, W. Hārdle and D. Martin Springer-Verlag, New York | ||
| 504 | |a Bustos, O., Yohai, V., Robust Estimates for ARMA models (1986) J. Amer. Statist. Assoc, 81, pp. 155-168 | ||
| 504 | |a Denby, L., Martin, R.D., Robust estimation of the first order autoregressive parameter (1979) J. Amer. Statist. Assoc, 74, pp. 140-147 | ||
| 504 | |a Hallin, M., Ingenbleek, J.-F., Puri, M.L., Linear serial rank tests for randomness against ARMA alternatives (1985) Ann. Statist, 13, pp. 1156-1181 | ||
| 504 | |a Hallin, M., Puri, M.L., Optimal rank-based procedures for time series analysis: Testing an ARMA model against other ARMA models (1988) Ann. Statist, 16, pp. 402-432 | ||
| 504 | |a Hajek, J., Sidák, Z., (1967) Theory of Rank Tests, , Academic Press, New York | ||
| 504 | |a Koul, H., A weak convergence result useful in robust autoregression (1990) To appear in Journal of Statistical Planning and Linear Inference | ||
| 504 | |a Krieger, H.A., A new look at Bergström’s Theorem on convergence in distribution variables (1984) Israel Journal of Mathematics, 47, pp. 32-64 | ||
| 504 | |a LeCam, L., Locally asymptotically normal families of distributions (1960) Univ. Calif. Publ. Statist, 3, pp. 37-98 | ||
| 504 | |a Martin, R.D., Robust estimation of autoregressive models (with discussion) (1980) Directions in Time Series, edited by Brillinger, , et al., Instit. of Math. Statistics Publications | ||
| 504 | |a Martin, R.D., Robust methods in time series (1981) Applied Time Series II, , D. F. Findley, Academic Press, New York | ||
| 504 | |a Martin, R.D., Yohai, V.J., Robustness in time series and estimating ARMA models (1985) Handbook of Statistics, 5, pp. 119-155. , E. J. Hannan, et al. Elsevier Science Publishers B. V | ||
| 504 | |a Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., Numerical Recipes: The Art of Scientific Computing (1986), Cambridge University Press; Puri, M.L., Sen, P.K., Nonparametric Methods on Multivariate Analysis (1971), Wiley, New York | ||
| 520 | 3 | |a In this paper we introduce a new family of robust estimators for ARMA models. These estimators are defined by replacing the residual sample autocovariances in the least squares equations by autocovariances based on ranks. The asymptotic normality of the proposed estimators is provided. The efficiency and robustness properties of these estimators are studied. An adequate choice of the score functions gives estimators which have high efficiency under normality and robustness in the presence of outliers. The score functions can also be chosen so that the resulting estimators are asymptotically as efficient as the maximum likelihood estimators for a given distribution. © 1991, Taylor & Francis Group, LLC. All rights reserved. |l eng | |
| 593 | |a Departamento de Matemática Facultad de Ciencias Exactas U.N.L.P, c.c. No.172 1900 La Plata, Argentina | ||
| 593 | |a Departamento de Matemática Facultad de Ciencias Exactas U.B.A., Ciudad Universitaria Pabellón 1 1428 Buenos Aires, Argentina | ||
| 690 | 1 | 0 | |a ARMA MODELS |
| 690 | 1 | 0 | |a ASYMPTOTIC RELATIVE EFFICIENCY |
| 690 | 1 | 0 | |a ESTIMATION BASED ON RANKS |
| 700 | 1 | |a Yohai, V.J. | |
| 773 | 0 | |d 1991 |g v. 20 |h pp. 3879-3907 |k n. 12 |p Commun Stat Theory Methods |x 03610926 |w (AR-BaUEN)CENRE-84 |t Communications in Statistics - Theory and Methods | |
| 856 | 4 | 1 | |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040197395&doi=10.1080%2f03610929108830746&partnerID=40&md5=52e19086f77b0ff320d0f75f6fd013d9 |y Registro en Scopus |
| 856 | 4 | 0 | |u https://doi.org/10.1080/03610929108830746 |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_03610926_v20_n12_p3879_Ferretti |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v20_n12_p3879_Ferretti |y Registro en la Biblioteca Digital |
| 961 | |a paper_03610926_v20_n12_p3879_Ferretti |b paper |c PE | ||
| 962 | |a info:eu-repo/semantics/article |a info:ar-repo/semantics/artículo |b info:eu-repo/semantics/publishedVersion | ||
| 999 | |c 72875 | ||