R-estimation for ARMA models
This paper is devoted to the R-estimation problem for the parameter of a stationary ARMA model. The asymptotic uniform linearity of a suitable vector of rank statistics leads to the asymptotic normality of √n-consistent R-estimates resulting from the minimization of the norm of this vector. By using a discretized √n-consistent preliminary estimate, we construct a new class of one-step R-estimators. We compute the asymptotic relative efficiency of the proposed estimators with respect to the LS estimator. Efficiency properties are investigated via a Monte-Carlo study in the particular case of an AR(1) model.
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- Hallin, M. & Puri, L.M., 1992.
"Aligned Rank tests for Linear Models with Autocorrelated Error Terms,"
9202, Universite Libre de Bruxelles - C.E.M.E..
- Hallin, M. & Puri, M. L., 1994. "Aligned Rank Tests for Linear Models with Autocorrelated Error Terms," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 175-237, August.
- Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1984.
"Linear serial rank tests for randomness against ARMA alternatives,"
ULB Institutional Repository
2013/2167, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1985. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2003, ULB -- Universite Libre de Bruxelles.
- Marc Hallin, 1994. "On the Pitman nonadmissibility of correlogram-based time series methods," ULB Institutional Repository 2013/2049, ULB -- Universite Libre de Bruxelles.
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