ROBUST ESTIMATES OF LINEAR TREND IN MULTIVARIATE TIME SERIES.
WISCONSIN UNIV MADISON DEPT OF STATISTICS
Pagination or Media Count:
Median and weighted median estimates are obtained for the linear trend parameters of a univariate time series by applying the Hodges-Lehmann method to some well known nonparametric tests for trend. The estimation procedure is extended to the multivariate trend model and asymptotic efficiency properties relative to the classical estimates are studied.
- Statistics and Probability