Artículo
Ferretti, N.E.; Yohai, V.J. "Estimators Based on Ranks for Arma Models" (1991) Communications in Statistics - Theory and Methods. 20(12):3879-3907
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Abstract:
In this paper we introduce a new family of robust estimators for ARMA models. These estimators are defined by replacing the residual sample autocovariances in the least squares equations by autocovariances based on ranks. The asymptotic normality of the proposed estimators is provided. The efficiency and robustness properties of these estimators are studied. An adequate choice of the score functions gives estimators which have high efficiency under normality and robustness in the presence of outliers. The score functions can also be chosen so that the resulting estimators are asymptotically as efficient as the maximum likelihood estimators for a given distribution. © 1991, Taylor & Francis Group, LLC. All rights reserved.
Registro:
| Documento: | Artículo |
| Título: | Estimators Based on Ranks for Arma Models |
| Autor: | Ferretti, N.E.; Yohai, V.J. |
| Filiación: | Departamento de Matemática Facultad de Ciencias Exactas U.N.L.P, c.c. No.172 1900 La Plata, Argentina Departamento de Matemática Facultad de Ciencias Exactas U.B.A., Ciudad Universitaria Pabellón 1 1428 Buenos Aires, Argentina |
| Palabras clave: | ARMA models; asymptotic relative efficiency; estimation based on ranks |
| Año: | 1991 |
| Volumen: | 20 |
| Número: | 12 |
| Página de inicio: | 3879 |
| Página de fin: | 3907 |
| DOI: | http://dx.doi.org/10.1080/03610929108830746 |
| Título revista: | Communications in Statistics - Theory and Methods |
| Título revista abreviado: | Commun Stat Theory Methods |
| ISSN: | 03610926 |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v20_n12_p3879_Ferretti |
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- Martin, R.D., Yohai, V.J., Robustness in time series and estimating ARMA models (1985) Handbook of Statistics, 5, pp. 119-155. , E. J. Hannan, et al. Elsevier Science Publishers B. V
- Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., Numerical Recipes: The Art of Scientific Computing (1986), Cambridge University Press; Puri, M.L., Sen, P.K., Nonparametric Methods on Multivariate Analysis (1971), Wiley, New York
Citas:
---------- APA ----------
Ferretti, N.E. & Yohai, V.J. (1991) . Estimators Based on Ranks for Arma Models. Communications in Statistics - Theory and Methods, 20(12), 3879-3907.http://dx.doi.org/10.1080/03610929108830746
---------- CHICAGO ----------
Ferretti, N.E., Yohai, V.J. "Estimators Based on Ranks for Arma Models" . Communications in Statistics - Theory and Methods 20, no. 12 (1991) : 3879-3907.http://dx.doi.org/10.1080/03610929108830746
---------- MLA ----------
Ferretti, N.E., Yohai, V.J. "Estimators Based on Ranks for Arma Models" . Communications in Statistics - Theory and Methods, vol. 20, no. 12, 1991, pp. 3879-3907.http://dx.doi.org/10.1080/03610929108830746
---------- VANCOUVER ----------
Ferretti, N.E., Yohai, V.J. Estimators Based on Ranks for Arma Models. Commun Stat Theory Methods. 1991;20(12):3879-3907.http://dx.doi.org/10.1080/03610929108830746
