Munich Personal RePEc Archive

R-estimation for ARMA models

Allal, Jelloul and Kaaouachi, Abdelali and Paindaveine, Davy (2001): R-estimation for ARMA models. Published in: Journal of Nonparametric Statistics No. 13 (2001): pp. 815-831.

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This paper is devoted to the R-estimation problem for the parameter of a stationary ARMA model. The asymptotic uniform linearity of a suitable vector of rank statistics leads to the asymptotic normality of √n-consistent R-estimates resulting from the minimization of the norm of this vector. By using a discretized √n-consistent preliminary estimate, we construct a new class of one-step R-estimators. We compute the asymptotic relative efficiency of the proposed estimators with respect to the LS estimator. Efficiency properties are investigated via a Monte-Carlo study in the particular case of an AR(1) model.

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