Rank regression with estimated scores

Joshua D. Naranjo and Joseph W. McKean

Statistics & Probability Letters, 1997, vol. 33, issue 2, 209-216

Abstract: Rank-based estimates are asymptotically efficient when optimal scores are used. This paper describes a method for estimating the optimal score function based on residuals from an initial fit. The resulting adaptive estimate is shown to be asymptotically efficient.

Keywords: Rank; regression; Score; estimation; Adaptive; estimate; Asymptotic; efficiency (search for similar items in EconPapers)
Date: 1997
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