The Annals of Statistics

R-Estimation of the Parameters of Autoregressive [Ar (p)] Models

Hira L. Koul and A. K. Md. E. Saleh

Full-text: Open access

Abstract

In an AR(p) model, R-estimation of a subset of parameters is considered when the complementary subset is possibly redundant. Along with the rank test of the full hypothesis and the subhypothesis of the parameters, both preliminary test and shrinkage R-estimators are considered. In the light of asymptotic distributional risk, the relative asymptotic risk-efficiency results are given. Though, the shrinkage R-estimator may dominate their classical versions, they do not in general dominate the preliminary test R-estimators.

Article information

Source
Ann. Statist., Volume 21, Number 1 (1993), 534-551.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349041

Digital Object Identifier
doi:10.1214/aos/1176349041

Mathematical Reviews number (MathSciNet)
MR1212192

Zentralblatt MATH identifier
0795.62076

JSTOR
links.jstor.org

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62M05: Markov processes: estimation 62G05: Estimation 62G10: Hypothesis testing

Keywords
Robust estimation rank-statistics asymptotic distributional risk Stein phenomenon R-estimation

Citation

Koul, Hira L.; Saleh, A. K. Md. E. R-Estimation of the Parameters of Autoregressive [Ar (p)] Models. Ann. Statist. 21 (1993), no. 1, 534--551. doi:10.1214/aos/1176349041. https://projecteuclid.org/euclid.aos/1176349041


Export citation