R-estimation in a Linear Model with Autoregressive Errors

Jana Jurečková; Hira Koul; Jan Picek

R-estimation in a Linear Model with Autoregressive Errors

统计方法学 2026-08-13 v1

作者: Jana Jurečková , Hira Koul , Jan Picek

摘要

In the linear regression model, we construct a nonparametric estimate of the regression parameter vector $\boldgreek\beta$ that is insensitive to a possible nuisance autoregression in the model errors. The main tool for estimating $\boldgreek\beta$ is based on the autoregression rank scores of the model. The resulting estimator is invariant to the autoregression parameters and thus remains insensitive to potential hidden linear trends or other structured disturbances, which frequently occur in economic, hydrological, and related applications.

引用

@article{arxiv.2608.13150,
  title  = {R-estimation in a Linear Model with Autoregressive Errors},
  author = {Jana Jurečková and Hira Koul and Jan Picek},
  journal= {arXiv preprint arXiv:2608.13150},
  year   = {2026}
}