Efficient Rank Regression with Wavelet Estimated Scores |
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| Authors: | E Kwessi A Abebe G De Souza |
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| Institution: | 1. Department of Mathematics, Trinity University, San Antonio, Texas, USA;2. Department of Mathematics and Statistics, Auburn University, Auburn, Alabama, USA |
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| Abstract: | We provide an estimate of the score function for rank regression using compactly supported wavelets. This estimate is then used to find a rank-based asymptotically efficient estimator for the slope parameter of a linear model. We also provide a consistent estimator of the asymptotic variance of the rank estimator. For related mixed models, the asymptotic relative efficiency is also discussed |
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| Keywords: | Asymptotic efficiency Score function Besov spaces Wavelets |
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