CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER

DOI10.1111/J.1467-9892.1981.TB00322.XMaRDI QIDQ3946971zbMATH OpenOpenAlexFDO

Authors Jeffrey B. Birch, R. Douglas Martin

Publication date 1981

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1981.tb00322.x

zbMATH Keywords

bisquareconservative percent pointscontaminationestimators of transition parameterfirst order autoregressive parametergeneralized M-estimatorGM-estimatorsHuberLAB-deficienciesleast squaresrobust estimatestime series

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05) Monte Carlo methods (65C05)

Cites work

• Confidence Interval Robustness with Long-Tailed Symmetric Distributions
• Confidence Intervals for Bisquare Regression Estimates
• Estimation in a first order autoregressive scheme with non—normal stable disturbances
• Robust Estimation of a Location Parameter
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust regression using iteratively reweighted least-squares
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data

Cited in

(3)

• On the power of robust tests in analysis of covariance
• Infrence for non-negative autoregressive schemes
• Inference About the First-Order Autoregressive Coefficient

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