Efficient Rank Regression with Wavelet Estimated Scores

E. Kwessi, A. Abebe and G. De Souza

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 18, 3986-3996

Abstract: We provide an estimate of the score function for rank regression using compactly supported wavelets. This estimate is then used to find a rank-based asymptotically efficient estimator for the slope parameter of a linear model. We also provide a consistent estimator of the asymptotic variance of the rank estimator. For related mixed models, the asymptotic relative efficiency is also discussed

Date: 2014
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DOI: 10.1080/03610926.2012.712188

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