ROBUST ESTIMATES OF LINEAR TREND IN MULTIVARIATE TIME SERIES.
Abstract
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.
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1967
- Accession Number
- AD0653267
Entities
People
- G. K. Bhattacharyya
Organizations
- University of Wisconsin–Madison