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March, 1993 R-Estimation of the Parameters of Autoregressive [Ar (p)] Models
Hira L. Koul, A. K. Md. E. Saleh
Ann. Statist. 21(1): 534-551 (March, 1993). DOI: 10.1214/aos/1176349041


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.


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Hira L. Koul. A. K. Md. E. Saleh. "R-Estimation of the Parameters of Autoregressive [Ar (p)] Models." Ann. Statist. 21 (1) 534 - 551, March, 1993.


Published: March, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0795.62076
MathSciNet: MR1212192
Digital Object Identifier: 10.1214/aos/1176349041

Primary: 62M10
Secondary: 62G05 , 62G10 , 62M05

Keywords: Asymptotic distributional risk , rank-statistics , R-estimation , robust estimation , Stein phenomenon

Rights: Copyright © 1993 Institute of Mathematical Statistics

Vol.21 • No. 1 • March, 1993
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