On robust estimation in the first order autoregressive processes

DOI10.1080/03610920008832467MaRDI QIDQ4493674zbMATH OpenOpenAlexFDO

Authors John N. Haddad

Publication date 27 February 2001

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832467

zbMATH Keywords

additive outliersautoregressive processgeneralized \(M\)-estimateleast squares estimatemedian substitute estimatesimulations

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3842986 (Why is no real title available?)
• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• Strong mixing properties of linear stochastic processes

Cited in

(11)

• Estimation of the first-order autoregressive model with contaminated exponential white noise
• On median estimates and tests in autoregressive models
• Assessing one-step-ahead prediction error based on the median for first-order autoregressive models in the presence of outliers
• Testing independence in linear process with non-normal innovations
• Robust tests for time series with an application to first-order autoregressive processes
• scientific article; zbMATH DE number 18763 (Why is no real title available?)
• Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier
• Robust estimation for the coefficient of a first order autoregressive process
• The median estimate of the autoregressive location parameter
• Inference About the First-Order Autoregressive Coefficient
• Effect of autocorrelation estimators on the performance of the X̄ control chart

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