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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 22, Fasc. 2,
pages 293 - 302
 

ON ADAPTIVE ESTIMATION BASED ON RANKS IN ARMA PROCESSES

J. Allal
A. Kaaouachi
S. Melhaoui

Abstract: This paper describes the adaptive estimation problem based on ranks for the parameter of an ARMA process. The local asymptotic normality property with a ranked based central sequence allows for the construction of estimators which are locally asymptotically minimax (LAM). By using a consistent estimate of the score function, we obtain the adaptive estimators which are LAM and which do not depend on the innovation density.

1991 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: Local asymptotic normality (LAN), asymptotic linearity, locally asymptotically minimax (LAM), adaptivity.

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