R-Estimation of the Parameters of Autoregressive [Ar (p)] Models
Koul, Hira L. ; Saleh, A. K. Md. E.
Ann. Statist., Tome 21 (1993) no. 1, p. 534-551 / Harvested from Project Euclid
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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.
Publié le : 1993-03-14
Classification:  Robust estimation,  rank-statistics,  asymptotic distributional risk,  Stein phenomenon,  R-estimation,  62M10,  62M05,  62G05,  62G10 
@article{1176349041,
     author = {Koul, Hira L. and Saleh, A. K. Md. E.},
     title = {R-Estimation of the Parameters of Autoregressive [Ar (p)] Models},
     journal = {Ann. Statist.},
     volume = {21},
     number = {1},
     year = {1993},
     pages = { 534-551},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349041}
}

Koul, Hira L.; Saleh, A. K. Md. E. R-Estimation of the Parameters of Autoregressive [Ar (p)] Models. Ann. Statist., Tome 21 (1993) no. 1, pp.  534-551. http://gdmltest.u-ga.fr/item/1176349041/