ESTIMATION IN ARMA MODELS BASED ON SIGNEDV RANKS

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ALLAL J.; KAAOUACHI A.

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Paper Information

Journal: JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS) Year:2003 | Volume:2 | Issue:2 Page(s): 207-222

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Information Journal Paper

Title

ESTIMATION IN ARMA MODELS BASED ON SIGNEDV RANKS

Author(s)

ALLAL J. | KAAOUACHI A. | Issue Writer Certificate

Keywords

ARMA MODELSQ4

ASYMPTOTIC RELATIVE EFFICIENCYQ4

ASYMPTOTIC UNIFORM LINEARITYQ4

LOCAL ASYMPTOTIC NORMALITYQ4

RANK AND SIGNED-RANK PROCEDURESQ4

R-ESTIMATIONQ4

SERIAL SIGNED RANK STATISTICSQ4

Abstract

In this paper we develop an asymptotic theory for estimation based on signed ranks in the ARMA model when the innovation density is symmetrical. We provide two classes of estimators and we establish their asymptotic normality with the help of the asymptotic properties for SERIAL SIGNED RANK STATISTICS. Finally, we compare our procedure to the one of least-squares, and we illustrate the performance of the proposed estimators via a Monte Carlo study.

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APA: Copy

ALLAL, J., & KAAOUACHI, A.. (2003). ESTIMATION IN ARMA MODELS BASED ON SIGNEDV RANKS. JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS), 2(2), 207-222. SID. https://sid.ir/paper/117859/en

Vancouver: Copy

ALLAL J., KAAOUACHI A.. ESTIMATION IN ARMA MODELS BASED ON SIGNEDV RANKS. JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS)[Internet]. 2003;2(2):207-222. Available from: https://sid.ir/paper/117859/en

IEEE: Copy

J. ALLAL, and A. KAAOUACHI, “ESTIMATION IN ARMA MODELS BASED ON SIGNEDV RANKS,” JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS), vol. 2, no. 2, pp. 207–222, 2003, [Online]. Available: https://sid.ir/paper/117859/en

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