AUTOREGRESSION QUANTILES AND RELATED RANK-SCORES PROCESSES

被引：51

作者：

KOUL, HL ^{[1
]}

SALEH, AKME ^{[1
]}

机构：

[1] CARLETON UNIV,DEPT MATH & STAT,OTTAWA,ON K1S 5B6,CANADA

来源：

ANNALS OF STATISTICS | 1995年 / 23卷 / 02期

关键词：

REGRESSION QUANTILES; ASYMPTOTIC UNIFORM LINEARITY OF AUTOREGRESSION RANK-SCORE PROCESSES AND STATISTICS; L-STATISTICS;

D O I：

10.1214/aos/1176324541

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper develops extensions of the regression quantiles of Koenker and Bassett (1978) to autoregression. It generalizes several results of Jureckova (1992a) and Gutenbrunner and Jureckova (1992) in linear regression to autoregression models. In particular, it gives the asymptotic uniform linearity of linear rank-scores statistics based on residuals suitable in autoregression. It also discusses the two types of L-statistics appropriate in autoregression.

引用

页码：670 / 689

页数：20

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