Sankhya: The Indian Journal of Statistics
2004, Volume 66, Pt. 2, 253--262
Generalized and Feasible Generalized Median Estimators for the Linear Regression with AR(1) Error Model
Yi-Hsuan Lai, Lin-An Chen , National Chiao Tung University, Hsinchu, Taiwan
Wen-Yaw Chan , University of Texas-Houston, Houston, Texas
SUMMARY. The generalized least squares estimator (GLSE) and the feasible generalized least squares estimator (FGLSE) are, separately, extended to the generalized and the feasible generalized median estimators for the linear regression with AR(1) error model. The large sample theory for these estimators is developed. Furthermore results of Monte Carlo studies and an example of real data analysis are provided for the feasible generalized median estimator.
AMS (1991) subject classification. 62E20, 62G05, 62G20, 62G35.
Key words and phrases. Generalized least squares estimator, median, regression quantile.