R-estimation in Autoregression with Square-Integrable Score Function

Kanchan Mukherjee and Z. D. Bai

Journal of Multivariate Analysis, 2002, vol. 81, issue 1, 167-186

Abstract: This paper develops an asymptotic theory for R-estimation based on a square-integrable, not necessarily bounded, score function in the pth order stationary autoregressive model. Asymptotic uniform linearity of a class of linear rank statistics is established and the asymptotic normality of the corresponding R-estimators is derived. This paper thus solves a long-standing problem in the development of the asymptotics for rank estimators under the autoregressive setup. The proofs use a combination of the approximation technique, the contiguity technique and the weak convergence technique of Hajek, Jurecková and Koul, respectively.

Keywords: R-estimation; autoregressive; models; contiguity; robust; estimation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (7)

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