R-estimation for ARMA models

Jelloul Allal, Abdelali Kaaouachi and Davy Paindaveine

MPRA Paper from University Library of Munich, Germany

Abstract: This paper is devoted to the R-estimation problem for the parameter of a stationary ARMA model. The asymptotic uniform linearity of a suitable vector of rank statistics leads to the asymptotic normality of √n-consistent R-estimates resulting from the minimization of the norm of this vector. By using a discretized √n-consistent preliminary estimate, we construct a new class of one-step R-estimators. We compute the asymptotic relative efficiency of the proposed estimators with respect to the LS estimator. Efficiency properties are investigated via a Monte-Carlo study in the particular case of an AR(1) model.

Keywords: R-estimation; ARMA models; local asymptotic normality; asymptotic linearity (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

Published in Journal of Nonparametric Statistics 13 (2001): pp. 815-831

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21167

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