Abstract
This paper develops extensions of the regression quantiles of Koenker and Bassett (1978) to autoregression. It generalizes several results of Jureckova (1992a) and Gutenbrunner and Jureckova (1992) in linear regression to autoregression models. In particular, it gives the asymptotic uniform linearity of linear rank-scores statistics based on residuals suitable in autoregression. It also discusses the two types of $L$-statistics appropriate in autoregression.
Citation
Hira L. Koul. A. K. Md. E. Saleh. "Autoregression Quantiles and Related Rank-Scores Processes." Ann. Statist. 23 (2) 670 - 689, April, 1995. https://doi.org/10.1214/aos/1176324541
Information