IDEAS home Printed from https://ideas.repec.org/a/spr/sistpr/v4y2001i2p155-179.html
   My bibliography  Save this article

Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach

Author

Listed:
  • J. Terpstra
  • M. Rao

Abstract

No abstract is available for this item.

Suggested Citation

  • J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
    • Handle: RePEc:spr:sistpr:v:4:y:2001:i:2:p:155-179
    DOI: 10.1023/A:1017933427540
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1023/A:1017933427540
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1023/A:1017933427540?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hallin, Marc & Puri, Madan L., 1991. "Time series analysis via rank order theory: Signed-rank tests for ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 1-29, October.
    2. Marc Hallin & Guy Melard, 1988. "Rank-based tests for randomness against first-order serial dependence," ULB Institutional Repository 2013/2015, ULB -- Universite Libre de Bruxelles.
    3. Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2219, ULB -- Universite Libre de Bruxelles.
    4. Bernard Garel & Marc Hallin, 1999. "Rank-Based Autoregressive Order Identification," ULB Institutional Repository 2013/127976, ULB -- Universite Libre de Bruxelles.
    5. Marc Hallin & Jana Jureckova, 1999. "Optimal tests for autoregressive models based on autoregression rank scores," ULB Institutional Repository 2013/2089, ULB -- Universite Libre de Bruxelles.
    6. Dinh Tuan, Pham, 1986. "The mixing property of bilinear and generalised random coefficient autoregressive models," Stochastic Processes and their Applications, Elsevier, vol. 23(2), pages 291-300, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Terpstra, Jeffrey T. & Rao, M. Bhaskara, 2002. "On the asymptotic distribution of a multivariate GR-estimate for a VAR(p) time series," Statistics & Probability Letters, Elsevier, vol. 60(2), pages 219-230, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003. "Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality," Discussion Paper 2003-23, Tilburg University, Center for Economic Research.
    2. Marc Hallin & Bas Werker, 2003. "Semiparametric efficiency, distribution-freeness, and invariance," ULB Institutional Repository 2013/2119, ULB -- Universite Libre de Bruxelles.
    3. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    4. Mark van de Wiel, 2001. "The split-up algorithm: a fast symbolic method for computing p-values of distribution-free statistics," Computational Statistics, Springer, vol. 16(4), pages 519-538, December.
    5. Jarle Aarstad & Olav Andreas Kvitastein & Stig-Erik Jakobsen, 2019. "What Drives Enterprise Product Innovation? Assessing How Regional, National, And International Inter-Firm Collaboration Complement Or Substitute For R&D Investments," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 23(05), pages 1-25, June.
    6. Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
    7. Petar Sorić, 2020. "“Normal†growth of the Chinese economy: new metrics based on consumer confidence data," Economics Bulletin, AccessEcon, vol. 40(2), pages 1740-1746.
    8. Guy Melard & Jean-Michel Pasteels, 1998. "User's manual of Time Series Expert: TSE version 2.3," ULB Institutional Repository 2013/14082, ULB -- Universite Libre de Bruxelles.
    9. M. Hallin & D. La Vecchia & H. Liu, 2022. "Center-Outward R-Estimation for Semiparametric VARMA Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(538), pages 925-938, April.
    10. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
    11. Garel, Bernard & Hallin, Marc, 2000. "Rank-based partial autocorrelations are not asymptotically distribution-free," Statistics & Probability Letters, Elsevier, vol. 47(3), pages 219-227, April.
    12. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2014. "Testing Serial Independence via Density-Based Measures of Divergence," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 627-641, September.
    13. Diks Cees & Panchenko Valentyn, 2008. "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-21, March.
    14. Husková, M., 2003. "Serial rank statistics for detection of changes," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 199-213, January.
    15. Marc Hallin & Abdeslam Serroukh, 1998. "Adaptive Estimation of the Lag of a Long–memory Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 111-129, May.
    16. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
    17. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2017. "A diagram to detect serial dependencies: an application to transport time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(2), pages 581-594, March.
    18. Jana Jurečková & Olcay Arslan & Yeşim Güney & Jan Picek & Martin Schindler & Yetkin Tuaç, 2023. "Nonparametric tests in linear model with autoregressive errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(4), pages 443-453, May.
    19. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
    20. André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sistpr:v:4:y:2001:i:2:p:155-179. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.