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April, 1995 Autoregression Quantiles and Related Rank-Scores Processes
Hira L. Koul, A. K. Md. E. Saleh
Ann. Statist. 23(2): 670-689 (April, 1995). DOI: 10.1214/aos/1176324541


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.


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Hira L. Koul. A. K. Md. E. Saleh. "Autoregression Quantiles and Related Rank-Scores Processes." Ann. Statist. 23 (2) 670 - 689, April, 1995.


Published: April, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0848.62047
MathSciNet: MR1332587
Digital Object Identifier: 10.1214/aos/1176324541

Primary: 62M10
Secondary: 62G30

Keywords: $L$-statistics , asymptotic uniform linearity of autoregression rank-score processes and statistics , regression quantiles

Rights: Copyright © 1995 Institute of Mathematical Statistics

Vol.23 • No. 2 • April, 1995
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