Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach
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DOI: 10.1023/A:1017933427540
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Cited by:
- 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.
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Keywords
Absolutely regular processes; Autoregressive time series; Geometric absolute regularity; GR-estimates; Pair-wise slopes; Rank-based estimates; Robust; U-statistics;All these keywords.
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