Mukherjee, Kanchan; Bai, Z. D. - In: Journal of Multivariate Analysis 81 (2002) 1, pp. 167-186
This paper develops an asymptotic theory for R-estimation based on a square-integrable, not necessarily bounded, score function in the pth order stationary autoregressive model. Asymptotic uniform linearity of a class of linear rank statistics is established and the asymptotic normality of the...