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Rank-based estimation for all-pass time series models

Author
ANDREWS, Beth; DAVISI, Richard A; BREIDT, F. Jay
[1] Northwestern University, United States
[2] Colorado State University, United States
Source

Annals of statistics. 2007, Vol 35, Num 2, pp 844-869, 26 p ; ref : 23 ref

CODEN
ASTSC7
ISSN
0090-5364
Scientific domain
Mathematics
Publisher
Institute of Mathematical Statistics, Hayward, CA
Publication country
United States
Document type
Article
Language
English
Keyword (fr)
Autocorrélation Comportement asymptotique Convergence asymptotique Distribution statistique Déconvolution Efficacité asymptotique Efficacité estimateur Estimateur convergent Estimation moyenne Estimation non paramétrique Estimation statistique Maximum vraisemblance Modèle ARMA Modèle autorégressif Moyenne mobile Méthode statistique Normalité asymptotique Polynôme Processus ARMA Processus autorégressif Processus moyenne mobile Processus stochastique Robustesse estimateur Simulation Statistique rang Série temporelle 62E20 62F12 62G05 62G20 62M10 Echantillon fini Estimation paramétrique Loi asymptotique Modèle moyenne mobile Moyenne mobile autorégressive
Keyword (en)
Autocorrelation Asymptotic behavior Asymptotic convergence Statistical distribution Deconvolution Asymptotic efficiency Estimator efficiency Consistent estimator Mean estimation Non parametric estimation Statistical estimation Maximum likelihood ARMA model Autoregressive model Moving average Statistical method Asymptotic normality Polynomial Autoregressive moving average processes Autoregressive processes Moving average processes Stochastic process Estimator robustness Simulation Rank statistic Time series Finite sample Moving average model
Keyword (es)
Autocorrelación Comportamiento asintótico Convergencia asintótica Distribución estadística Desconvolución Eficacia asintótica Eficacia estimador Estimador convergente Estimación promedio Estimación no paramétrica Estimación estadística Maxima verosimilitud Modelo ARMA Modelo autorregresivo Promedio móvil Método estadístico Normalidad asintótica Polinomio Proceso estocástico Robustez estimador Simulación Estadística rango Serie temporal
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02F Distribution theory

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
18953846

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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