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自回归分位数及相关秩得分过程AI 解读

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.

自回归AR(p)模型参数的R估计AI 解读

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 risk, the relative asymptotic risk-efficiency results are given. Though, the shrinkage R-estimator may dominate their classical versions, they do not in…