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.
Publié le : 1995-04-14
Classification:
Regression quantiles,
asymptotic uniform linearity of autoregression rank-score processes and statistics,
$L$-statistics,
62M10,
62G30
@article{1176324541,
author = {Koul, Hira L. and Saleh, A. K. Md. E.},
title = {Autoregression Quantiles and Related Rank-Scores Processes},
journal = {Ann. Statist.},
volume = {23},
number = {6},
year = {1995},
pages = { 670-689},
language = {en},
url = {http://dml.mathdoc.fr/item/1176324541}
}
Koul, Hira L.; Saleh, A. K. Md. E. Autoregression Quantiles and Related Rank-Scores Processes. Ann. Statist., Tome 23 (1995) no. 6, pp. 670-689. http://gdmltest.u-ga.fr/item/1176324541/