AUTOREGRESSION QUANTILES AND RELATED RANK-SCORES PROCESSES

• 成果类型: Article
• 署名作者: KOUL, HL; SALEH, AKME
• 署名单位: Carleton University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176324541
• 发表日期: 1995
• 页码: 670-689
• 关键词: regression quantiles; linear-models

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.