Rank-Based Autoregressive Order Identification
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/127976.
Date of creation: Dec 1999
Date of revision:
Publication status: Published in: Journal of the American Statistical Association (1999) v.94 n° 448,p.1357-1371
Autoregressive model; Order identification; Rank test; Robust methods; Time series;
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- J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
- Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
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