Rank order statistics for time series models

Tran, Lanh Tat

doi:10.1007/bf00052341

Cited by 8 publications

(2 citation statements)

References 15 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Shao, ) as a robust assessment of location. See Tran (), Hallin and Puri () and Andrews (), and references therein, for other rank‐based estimation with time series. Example For a function Ψ( x , t ), an M‐estimator T ( F n ) can be defined as the solution to

\int normalΨ (x, t) normald F_{n} (x) = 0

, estimating a parameter T ( F ) for which

\int normalΨ (x, T (F)) normald F (x) = 0

holds. This class of estimators can contain maximum likelihood estimators and various robust estimators for time series models.…”

Section: Statistical Functionals: Conditions and Examplesmentioning

confidence: 99%

See 1 more Smart Citation

A Smooth Block Bootstrap for Statistical Functionals and Time Series

Gregory

Lahiri

Nordman

2015

Journal Time Series Analysis

View full text Add to dashboard Cite

Unlike with independent data, smoothed bootstraps have received little consideration for time series, although data smoothing within resampling can improve bootstrap approximations, especially when target distributions depend on smooth population quantities (e.g., marginal densities). For approximating a broad class statistics formulated through statistical functionals (e.g., LL‐estimators, and sample quantiles), we propose a smooth bootstrap by modifying a state‐of‐the‐art (extended) tapered block bootstrap (TBB). Our treatment shows that the smooth TBB applies to time series inference cases not formally established with other TBB versions. Simulations also indicate that smoothing enhances the block bootstrap.

show abstract

\int normalΨ (x, t) normald F_{n} (x) = 0

, estimating a parameter T ( F ) for which

\int normalΨ (x, T (F)) normald F (x) = 0

holds. This class of estimators can contain maximum likelihood estimators and various robust estimators for time series models.…”

Section: Statistical Functionals: Conditions and Examplesmentioning

confidence: 99%

“…Shao, 2003) as a robust assessment of location. See Tran (1988), Hallin and Puri (1991) and Andrews (2008), and references therein, for other rank-based estimation with time series. Example 4 (M-estimators).…”

Section: Example 3 (Rank Statistics) Definementioning

confidence: 99%