R-ESTIMATION OF THE PARAMETERS OF AUTOREGRESSIVE [AR(P)] MODELS

• 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/1176349041
• 发表日期: 1993
• 页码: 534-551
• 关键词: regression

摘要

In an AR(p) model, R-estimation of a subset of parameters is considered when the complementary subset is possibly redundant. Along with the rank test of the full hypothesis and the subhypothesis of the parameters, both preliminary test and shrinkage R-estimators are considered. In the light of asymptotic distributional risks, the relative asymptotic risk-efficiency results are given. Though, the shrinkage R-estimator may dominate their classical versions, they do not in general dominate the preliminary test R-estimators.